ConvergEx Group launched Spectrum, a new algorithm that executes in a diverse variety of U.S. equity dark venues while allowing portfolio managers to manage cash balances and sector exposures.
Designed by ConvergEx’s team of financial engineers, Spectrum enables users to trade cash neutral in the dark, according to today’s release.
According to Scott Daspin, managing director in ConvergEx’s Electronic Trading group, dark liquidity is invaluable for moving large orders with minimal market impact. “However, portfolio traders, with their need to precisely manage risk and cash balances, have been virtually excluded from leveraging these dark pools,” he stated in the release. “The timing and velocity of the dark pool fills is simply too random for their heterogeneous baskets,” contended Daspoin. “But with Spectrum we are now giving them the power to operate in the dark.” “Spectrum is driven by ConvergEx’s state-of-the-art risk management engine and works by making thousands of order placement decisions every second," added Gary Ardell, head of the Financial Engineering & Advanced Trading Solutions group at ConvergEx. “It optimizes execution performance by providing midpoint or better pricing, while simultaneously monitoring risk management and cash balance parameters,” explained Ardell in the company’s release.
The strategy offers three separate cash objective options based upon customers’ preferred level of cash constraints. It supports three distinct settings for risk management and is fully configurable to meet customers’ selected level of risk aversion. A sophisticated, web-based performance interface is offered that tracks user performance throughout the life cycle of each execution. According to ConvergEx, this empowers both low-touch and high-touch users with the ability to dynamically modify portfolio executions throughout the trading day. This is the first in a series of portfolio algorithms ConvergEx plans to roll out.