OnePipe anti-gaming logic upgraded

OnePipe is the firms' joint trading network built to maximize efficiency and access to the many non-displayed liquidity sources, or dark pools, in the U.S. markets system.

OnePipe Lifeguard's enhanced anti-gaming logic detects and deters more styles of price manipulation strategies without compromising OnePipe's industry-leading crossing rates. By monitoring trades and quotes across markets over a rolling, adjusted time window, Lifeguard dynamically estimates a fair, manipulation-free price and sets trading limits to prevent adverse crosses. After trading, Lifeguard uses the complete high-frequency data set from all OnePipe orders to refine the real-time heuristics against Monte Carlo-based gaming likelihood measures. OnePipe thus continuously improves in accuracy and adapts to changing market conditions.

"Buyside traders tell us that anti-gaming protection is their greatest concern because gaming strategies are becoming more prevalent within passive liquidity sources," said Douglas Rivelli, Managing Director at Weeden & Co. "When orders are gamed in non-displayed venues, much, if not all, of the value these venues were intended to provide is lost. We are committed to providing our customers with the highest level of anti-gaming protection by eliminating the ability of predatory strategies to interact with OnePipe order flow."

"It is a bit unnerving for the buy-side to know that they are only as protected as the weakest destination of all the dark pools that they go to," said Peter Fraenkel, Director of Quantitative Services at Pragma Financial Systems. "OnePipe not only provides assurance that their order will have access to the greatest number of dark pool sources in the most intelligent manner, but that it will be protected equally across all of those destinations. OnePipe's anti-gaming logic, like it's liquidity-seeking order allocation model, is a product of Pragmaœs extensive financial research laboratory and is continuously being enhanced and improved as the markets change."

OnePipe, launched in February, was developed through Pragma@Weeden, the two firms' industry leading joint algorithmic trading service. It was launched to provide a solution to the problem of increasing liquidity fragmentation caused by the proliferation of dark pools in the U.S. markets system. OnePipe offers institutional investors access to more than 30 dark pools, crossing networks, and streaming liquidity venues from a single, integrated source that can be accessed from the trader's desktop.