Broker-dealer Weeden is increasing the functionality of two of algorithmic trading strategies, OnePipe and Ghost.
According to Wheeden, the recently released enhancements to the Weeden Algorithmic Suite include:
– Onepipe – New “Block Hunter” and “Block Seeker” logic have been added to better source block liquidity.
– Block Hunter – Will sequentially send out the entire order quantity to a subset of venues which have been identified as historically providing the highest probability of sourcing block liquidity in that particular name.
– Block Seeker – When a large fill is received at a single venue, Onepipe will immediately send a multiple of that fill size to that destination
– Ghost Strategy (designed to patiently work an order utilizing the price action of the security as the primary driver for execution speed).
See Also:DASH Financial Adds More Functionality to SMOKE Options Algorithm
– New Momentum option – Ghost, by default, speeds up the rate of trading as the price moves in its favor. Ghost now has an option to “reverse” the original logic and speed up as the price is moving away.
– When Ghost was released in 2011, it was designed for less liquid and wider spread stocks. Based on user requests, Ghost has been enhanced to better handle liquid securities and stocks that have deep order books.
“Many clients that we speak with have told us that they are frustrated with the small fill sizes that they typically receive in dark pools. These new enhancements are geared specifically towards maximizing block liquidity,” said David Margulies, head of electronic products group at Weeden. “We have simplified our strategy input screens for a better user experience. These enhancements have been rolled out to the majority of our OMS and EMS partners so clients can utilize these new enhancements immediately.”
