ConvergEx Group has launched Spectrum, a new algorithm that gives portfolio traders the benefits of executing in a diverse array of domestic dark venues, while allowing them to maintain their required cash and sector balances. Designed by ConvergEx’s dedicated team of financial engineers, Spectrum enables users to trade cash neutral in the dark.

“For moving large orders with minimal market impact, dark liquidity is simply invaluable. However, portfolio traders, with their need to precisely manage risk and cash balances, have been virtually excluded from leveraging these dark pools. The timing and velocity of the dark pool fills is simply too random for their heterogeneous baskets,” says Scott Daspin, managing director in the Electronic Execution group at ConvergEx. “But with Spectrum we are now giving them the power to operate in the dark.”
 
“Spectrum is driven by ConvergEx’s state-of-the-art risk management engine and works by making thousands of order placement decisions every second. It optimises execution performance by providing midpoint or better pricing, while simultaneously monitoring risk management and cash balance parameters,” says Gary Ardell, head of the Financial Engineering & Advanced Trading Solutions group at ConvergEx. “Spectrum represents truly innovative technology put to use in the pursuit of superior performance.”
 
The strategy offers three separate cash objective options based upon customers’ preferred level of cash constraints. It supports three distinct settings for risk management and is fully-configurable to meet customers’ selected level of risk aversion.
 
Spectrum’s proprietary technology and methodology also offer a sophisticated, web-based performance interface that tracks user performance throughout the life cycle of each execution. It empowers both low-touch and high-touch users with the ability to dynamically modify portfolio executions throughout the trading day.
 
This is the first in a series of portfolio algorithms ConvergEx plans to roll out.