Barclays Equities Releases Newly Enhanced Liquidity Seeking Algorithm in the US
November 16 2016 - 12:35PM
Business Wire
Barclays Capital Inc. announced today the release in the US of a
newly enhanced version of Hydra®, its liquidity seeking algorithm
for equities. The algorithm’s reconfigured features incorporate
Barclays’ execution experience as well as feedback from clients to
achieve more differentiated execution styles and refined control of
interaction with liquidity in the market.
The objective of Hydra is to minimize slippage from the arrival
price while seeking additional dark liquidity according to the
trader’s level of urgency. The four principal execution styles are
Quiet, Neutral, Aggressive and Dark Only. With more parameters
governing how the strategy works an order and interacts with dark
liquidity, the configuration of each execution style is more
distinct. Furthermore, clients can customize these parameters, and
can enlist the help of Barclays’ execution consulting and analytics
team to develop a data-driven approach for customization.
The new configuration of Hydra will become the default on
January 23, 2017, without any further action required from clients.
However, clients can elect to use the new version at any time
before that date. Additionally, clients can request to continue
using the current version at any time.
According to results from early adopters and internal testing,
the new configuration is behaving as intended, with greater
differentiation across urgency levels.
“Users should notice a marked difference between the execution
styles in this new version of Hydra,” said Joe Mecane, Head of
Equities Electronic Trading. “In particular, they should see a
difference between the participation rates and the percentage of
fills from passive, midpoint and aggressive order placement, in
line with their chosen execution style.”
The enhancements to Hydra include:
- Restrike logic to reset the benchmark
arrival price as market price deviates
- New Dark Step Ahead styles that control
how much of the remaining order to submit to dark order placement
logic
- A Dynamic Min Quantity for hidden
posted orders determined daily for each symbol-venue combination
based on historical data
- A new ATS-only posting option which
excludes hidden liquidity on lit exchanges for the purposes of dark
order placement
- Pounce on Marketability function to
take outsized lit liquidity when certain conditions are met
Mecane added, “This release of Hydra is a reflection of our
ongoing commitment to continuous improvement, incorporating our
clients’ feedback and our experience as we invest in our platform
and innovate new products.”
Barclays is a transatlantic consumer, corporate and investment
bank offering products and services across personal, corporate and
investment banking, credit cards and wealth management, with a
strong presence in our two home markets of the UK and the US. With
over 325 years of history and expertise in banking, Barclays
operates in over 40 countries and employs approximately 130,000
people. Barclays moves, lends, invests and protects money for
customers and clients worldwide. For further information about
Barclays, please visit our website home.barclays
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Barclays Capital Inc.Andrew Smith, +1 212 412
7521andrew.x.smith@barclays.com
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