Agency-focused brokerage and trading services provider Convergex has enhanced its recently launched Small Cap Algorithm by improving the algo's fair price model.
This enables traders to source as much liquidity as possible in less liquid names while minimising impact in the market place.
Convergex's Small Cap Algorithm rests completely hidden in over 15 ATSs, yet will exit the market when it senses that it is signalling its presence in the market place. The algorithm will then return to the market when it determines that it is advisable to re-engage. Meanwhile, block executions are continuously analysed for the potential execution of conditional orders.
"We consistently receive very positive feedback from our clients that our Small Cap Algorithm has filled a void in the small cap space where these securities tend to be less liquid," says Eric W Noll (pictured), Convergex CEO and president. "Our enhanced fair price model feature is designed to source additional liquidity only when it is beneficial to our customers.”
In addition to the enhanced fair price model, Convergex's Small Cap Algorithm includes other unique features including the "Shot Clock" that strategically takes liquidity from lit and dark markets in an intelligent and impact minimising manner. Traders can set the Shot Clock to take liquidity for each desired name at time intervals tailored to their specific preference. Furthermore, the Small Cap Algorithm supports min-dark fills and can customise venues on a client-by-client preference.
