Goldman Sachs adds point-in-time crossing to Sigma X dark pool

Source: Goldman Sachs Electronic Trading

Goldman Sachs Electronic Trading (GSET) announced today a new functionality for matching orders within its Sigma X liquidity pool.

The SIGMA X-Cross enables customers to match their orders at scheduled points during the trading day. Crosses will initially occur once a day, at 10:30AM EST. An afternoon session will be added in the near term.

This new functionality will take full advantage of the latent liquidity already resting in SIGMA X, which is consistently ranked as the largest U.S. dark pool (Tabb Group, 2008). X-Cross will harness liquidity from Goldman Sachs' algorithms and its ATS order book, creating opportunities for customers to find liquidity.

"X-Cross adds a brand new dimension to the SIGMA X experience," said Rishi Nangalia, Managing Director and Global Head of Business Development for GSET. "Many of our clients have already benefited from finding liquidity in SIGMA X. The timed crosses and the inclusion of our existing flows will make it easier for them to source even more liquidity across a broad universe of symbols."

For customers trading baskets of stocks, X-Cross will offer the ability to set net cash and beta-adjusted neutrality constraints. These parameters will automatically control exposure and manage execution risk for portfolio trading users.

Customers can enter X-Cross orders via the REDIPlus execution management system or FIX. REDIPlus customers will be alerted of an upcoming cross through the REDIHub, a central message center within the application. Similarly, FIX users can elect to receive automated X-Cross reminders via AOL IM alerts and via email. Once the X-Cross session begins, the number of shares matched is optimized based on the risk constraints submitted by users.

SIGMA X experienced substantial growth in 2008, and now averages 300 million shares per day.

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