Liquidnet says its new algos will help participants to find block liquidity

Liquidnet says its new algos will help participants to find block liquidity

Buy-side block trading venue Liquidnet has released a set of EMEA trading algorithms, which it says will help market participants to find liquidity ahead of the European Commission’s upcoming MiFID II legislation, which introduces important changes for dark pools.

The new algorithms include Liquidnet’s new liquidity seeking algo, Barracuda, which has been designed to simultaneously seek a block in Liquidnet whilst opportunistically searching for available liquidity across both lit and dark markets. Barracuda executes more when favourable liquidity conditions exist and slows down when liquidity is scarce or less attractive.

“Ahead of MiFID II’s double volume caps, algos that both intelligently access the lit market and large-in-scale blocks in the dark, will become more and more important to our members,” said said Chris Jackson, European head of Liquidnet’s execution and quantitative services group. “Algos can only be as good as the liquidity they access and the Next Gen Algo suite combines Liquidnet’s institutional liquidity, with intelligent access to liquidity from external lit and dark venues.”

“In current volatile market conditions, we see significant demand from our members and clients for algo solutions that combine the value of our block offering, with the opportunity to execute in the broader market.”

The new algos first rolled out in the US in August; Liquidnet says that they caused a 61% year-on-year increase in average daily volume driven by algorithmic execution. The average trade execution size on Liquidnet is $590k (Q4 2015). Liquidnet is also introducing a special “I Would” feature which gives members more control over the blocks they access in Liquidnet whilst using the algo suite.

Liquidnet has a network of 800 global institutions offering over $20 billion of EMEA average daily liquidity.