Pragma & Weeden introduce Ghost Algorithm
First Published 16th September 2011
Pragma & Weeden enhance algo suite with Ghost
David Mechner, CEO, Pragma
"Clients want a strategy that can be counted on to trade orders intelligently without constant monitoring."
Weeden & Co in partnership with Pragma has announced the release of Ghost, a new strategic algorithm built to work an order using a stock's price action as a primary driver for its execution speed.
Ghost patiently participates in both lit and dark venues, waiting to take advantage of favorable price movements. Ghost increases its trading rate when the price becomes favorable, but does not block the market, and allows the stock to naturally continue its price trend. Ghost simultaneously uses the OnePipe liquidity aggregation methodology to opportunistically source non-displayed liquidity while the order is strategically working in the market.
Ghost aims to protect client orders from predatory flow using the newest version of LIFEGUARD anti-gaming logic, which has been updated to deal with the proliferation of high frequency order flow in the marketplace. The new version of LIFEGUARD modulates its trading behavior based on millisecond-level details of activity in the market, including the pattern and price of trades, to help prevent information leakage, gaming, and adverse selection.
"Over the past year as we've filled out the aggressive side of our liquidity sourcing suite, we've seen increasing demand for a more strategic execution tool that is opportunistic as well. Clients want a strategy that can be counted on to trade orders intelligently without constant monitoring," said David Mechner, CEO of Pragma. "Ghost fills this need, taking advantage of favorable price action to drive trading velocity without interfering with the price formation process."
"With the addition of Ghost, Pragma and Weeden further enhance our suite of liquidity sourcing algorithms, including ONEPIPE, Capture and Bullseye," said David Margulies, Head of Electronic Products Group at Weeden & Co. L.P. "Clients have commented that Ghost has been an invaluable tool during volatile markets due to the intelligence and adaptability of the strategy especially in micro, small and mid-cap securities."