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Weeden and Pragma Unveil OnePipe Plus as New Liquidity Management Solution

Big moves in volatility underscore need to search for liquidity in both displayed markets and dark pools.

In response to market volatility, institutional broker Weeden & Co., LP and quantitative financial technology provider Pragma Financial Systems, LLCunveiled OnePipe Plus, a new liquidity management product that offers exposure in displayed and non-displayed markets to maximize fill rates. Both companies announced the news today.

OnePipe Plus provides access to 33 non-displayed and a dozen displayed markets (i.e., exchanges and ECNs), according to David Margulies, director of algorithmic sales at Weeden & Co., LP, based in Greenwich, Conn., in an interview on Friday.

The new OnePipe Plus product, which went live on Nov. 24th, builds upon the track record of OnePipe, the joint venture’s first liquidity management product, which offers exposure to dark liquidity pools. Pragma@Weeden, the two-companies’ joint algorithmic trading service, introduced OnePipe this past January. In today’s news release, both companies claim that OnePipe quickly established the industry’s highest fill rates for client orders among non-displayed venues.

But as a result of big moves in volatility, buy-side customers also want the ability to interact with displayed execution venues as well as the dark pools of liquidity. “We’ve seen a movement of people moving from strategies that are passive like TWAP and VWAP to more aggressive strategies,“ said Margulies.

“You have these large swings, you don’t have the luxury to work an order throughout the day,” said Margulies. “You can have a market that is up 200 points and then quickly down 200 points,” he continued.

Buy-side clients now have the ability to interact with the displayed and non-displayed markets and control the level of aggressiveness. There are three distinct levels, explained Margulies. In "level one, you’re primarily in the dark but you are doing sweeps in the displayed markets. “The primary goal is to be in the dark but have a taste for the lit markets,“ he said. “Level two, is similar except that the application goes into the open market more frequently,” he said. With the third level, which is called Complete, the idea is to get the order done in a specified time period. For example, say someone is buying 1,000 shares of a target stock, and needs to be done by 1:00 pm. The software will draw a trajectory of the order. If you are not 50 percent done by a certain time, then OnePipe Plus will go into the displayed market to catch you up,” illustrated Margulies. “If you want to be done in an hour, you’d put your end time for your orders in,” he said.

The new product taps into OnePipe’s quantitative order allocation logic and utilizes the same Lifeguard anti-gaming logic. Both products utilize an advanced order allocation logic based on real time and historical data analysis.

The company will continue to offer the dark-only OnePipe, as it expects clients will use both products. Clients may start in OnePipe only to see how much they get done, he said. “Especially if you are trading a more illiquid name, some people would not want to be in displayed markets; some will make the choice to be in OnePipe only and some will want to make the choice to go to OnePipe Plus.

Interestingly, the most used strategy is currently the dark-pool centric OnePipe, but the second one is Liquidity Hunter, a liquidity-seeking algorithm for lit markets, which has been in production for quite awhile, said Margulies. Even before volatility became an issue this was a popular strategy because if there was high alpha in a name people wanted to compete their orders quickly. He suspects that even if volatility were to decrease dramatically, plenty of clients would still use the OnePipe Plus product.

Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio

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