JPMorgan launches 'dark book' algorithms

JPMorgan launches 'dark book' algorithms

JPMorgan Chase has launched Aqua and Arid, two institutional trading algorithms that have been designed to stealthily trade stocks on dark books - trading networks that do not publish quotes in the open market - as well as on exchanges and ECNs.

Aqua is designed to trade large orders in liquid markets, whereas Arid is intended for illiquid securities, such as small cap stocks.

The algoritms are the most recent additions to JPMorgan's electronic client solutions (ECS) suite of products. Aqua and Arid are both immediately available on the bank's broker-neutral execution management system, Neovest, as well as other order and execution management systems.

Carl Carrie, head of product development at the bank's ECS division, says: "Market fragmentation and Reg NMS have driven the demand for a new generation of algorithms that can access both displayed and dark forms of liquidity."

Last month Banc of America Securities (BAS) said its most recent equity algorithm, Ambush, which is designed to swiftly execute large orders with minimal market impact, had experienced the fastest adoption rate of any of its seven algorithmic trading strategies.

Earlier this year electronic broker Instinet launched a 'stealth liquidity aggregation algorithm' called Nighthawk that simultaneously accesses ECN and major dark pools of liquidity as well as a 'stealth order management algorithm' called Cobra which is designed to offload large stock orders while leaving the spread unchanged.

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