DWT
NEW YORK-Quantitative trading services provider Pragma Securities recently launched Onecross, a multi-benchmark alternative trading system (ATS) and dark crossing network that allows traders to pair off on marker-on-open and market-on-close orders, officials say.
"Nobody has a cross that targets the open or a cross that targets the close," claims Doug Rivelli, CEO of Pragma Securities. "More crosses target parts of the volume-weighted average prices (VWAPs). The differentiation here is that this is the first product that actually supports these order types."
Onecross is a suite of crosses, including the continuous market-on-open and market-on-close crosses along with mid-point continuous crosses and VWAP crosses. "Traders are measured against very specific trading benchmarks. [For] traders that are being measured against VWAP or an index fund or a fund that is trading against a net asset value (NAV) that is benchmarked toward the close, there is really no product that allows them to find liquidity in decent size at their very specific benchmarks," says Rivelli.
The platform supports all versions of the FIX messaging protocol and is accessible via users' order management systems (OMSes), execution management systems (EMSes)and proprietary systems, says
Rivelli. Its crosses are available to buy- and sell-side users. Buy-side users can send orders directly to the cross or through an algorithm via Pragma's executing partner, Weedell & Co.
Pragma launched Onecross with 300 clients connected to it, but the vendor has not yet released volume figures for Onecross. "We have done substantial testing on the system and have not been met with
any latencies," says Rivelli. "We know clients who are sending in very high message traffic and we are able to manage that without any problems."
In developing Onecross, Pragma addressed a problem cited by clients with exchanges and displayed markets, says Rivelli. "They allow traders to put down orders on the close, but one of the problems there
is that you are exposing what could be a very large or sensitive order to the marketplace and signaling your intention," he says. "For example, if you need to expose an order to an exchange's market or close
cross at 3:40 p.m. and you create an imbalance, for 20 minutes at the end of the day, the entire world knows there is an imbalance in a particular name. That will create a lot of adverse price movement against the person that initiated that order."
On Onecross, traders can execute such trades without leaking information in the marketplace, adds Rivelli. "If
they can't find the other side of the trade, then in Onecross, they can trade that in the open market if they so choose. We give them an opportunity to define the confirmation without expressing their order to the open market and creating a lot of the impact that is associated with it."
Michael Shashoua
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