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Goldman Sachs unveils BlockStrike block liquidity strategy

02 February 2011  |  7038 views  |  0 drop of water

Goldman Sachs is introducing a feature that enables its electronic trading business customers to search for large blocks of liquidity in dark pools while still working the order using the algorithm's existing logic.

Goldman says BlockStrike adds "opportunistic" dark posting behaviour to seek block executions while trading its Participate, Volume-Weighted Average Price (VWAP) and Time-Weighted Average Price (TWAP) algorithms based on trading objectives.

BlockStrike on the bank's Sonar and Sonar Dark algos will convert dark posting to block-only dark posting. The strategy simultaneously places a contingent order with a block-sized minimum execution in Sigma X, GSET's non-displayed ATS that matches buyers and sellers anonymously.

Greg Tusar, co-head, Goldman Sachs Electronic Trading, says: "In the past, traders had to decide whether to commit their order to an algorithm or try to negotiate a block in a dark pool. With BlockStrike, our clients now have the ability to accomplish both simultaneously - and all they have to do is to check a box."

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