J.P. Morgan Launches Aqua Algorithm to Help Buyside Find Blocks

Looking for that elusive block trade but want to go through a bulge bracket broker?

Then J.P. Morgan might have something for the buyside – a new algorithm designed to seek out blocks of stock and get a large order done. The new algo, dubbed “Aqua Blocks,” incorporates a new level of urgency that tracks down sizable liquidity at multiple venues simultaneously through conditional order types.

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The search for blocks has become more difficult than ever due to the the growth of e-trading in recent years, but appears to have stalled for the moment, has resulted in lower average execution size in the market because the algos being used are splitting orders into small slices.

According to J.P. Morgan, Aqua Blocks was developed in direct response to client demand to trade electronically, but also to get larger execution sizes.

So how does Aqua work?

Unlike most generic algorithms, Aqua Blocks purposefully does not split orders into small slices. It uses the quant models to look for larger executions in specific trading venues such as JPM-X, IEX and other known block trading facilities.

According to the firm, dependent on how one defines blocks, which usually are blocks of stock larger than 100,000 shares, they will represent 10-20% of all market volume.