Convergex Enhances Liquidity-Sensitive Small Cap Algorithm

Aug 18 2016 | 6:40pm ET

Global brokerage and trading services provider Convergex has announced enhancements to its recently launched Small Cap Algorithm service offering. 

The algorithm’s fair price model has been improved, Convergex said in a statement, and further enables traders to source as much liquidity as possible in less liquid names while simultaneously minimizing impact in the marketplace. The program rests completely hidden in over 15 ATS’s, Convergex said, yet will exit the market when it senses that its presence is being signaling to the marketplace and will only return when it becomes advisable to re-engage. Meanwhile, the algo also continuously analyzes block executions for the potential execution of conditional orders. 

The small-cap algorithm was originally released on June 16, 2016.

"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," said Eric Noll, Convergex CEO and president, in a statement. "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 contains features such as the so-called "shot clock" that strategically takes liquidity from lit and dark markets in an intelligent and low-impact manner, and supports min-dark fills and customized venues on a client-by-client preference.

In February, Convergex’s options division launched a series of customizable capital-crossing algos also designed to streamline the process of sourcing additional liquidity without causing large price swings.

The company was named “best algorithmic trading provider” by Waters Technology in mid-July for its broad set of algorithms that provide both buy-side and sell-side traders with greater control over global trade execution.

Headquartered in New York, Convergex is an agency-focused global brokerage and trading-related services provider serving early 3,000 clients and accessing over 100 global market centers. Convergex’s services span global high-touch and electronic trading, options technologies, prime brokerage, clearing, and commission management.

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