暗池可以解锁足够的流动性以进行块交易吗？

Five years after the flash crash, buy-side investors aren’t sleeping any easier. The最近逮捕英国贸易商Navinder Singh Saraofor allegedly helping trigger that event, which sent U.S. stock markets into a brief and sharp tailspin, reminded them how perilous buying and selling securities has become. Among other charges, the Commodity Futures Trading Commission has accused Sarao of repeatedly placing orders he planned to cancel, an illegal activity known as spoofing.

当他们寻找流动性 - 并尽量避免向高频交易商和市场制造商展示他们的手 - 买方公司都太熟悉了幻象优惠。那些在数十个中寻求避难所的人黑暗游泳池私人场所可以在细节成为公众之前执行大型交易，经常尝试确认报价只能看到它消失。

“They hate the fact the other side of the trade walked away and took information from them,” says Michael Cashel, a senior vice president at Fidelity Trading Ventures, a division of Fidelity Investments, headquartered in Boston. Having learned that someone is looking to buy a big block of shares, the other party can profit from that knowledge.

在寻找一个安全的避风港，富达领导的九个大型资产管理人员都加入了努力创造自己的黑暗游泳池，Luminex Trading & Analytics。Cashel担任波士顿基于波士顿的场地的临时首席执行官，该场地将于9月底前往。

Luminex will be open only to the buy side. Besides attracting a large and diverse group of investors, the plan is to simplify orders for institutional block trades and stop information leaks. This new player may offer protections missing from current dark pools, but can it provide enough liquidity to reach critical mass?

When it comes to liquidity, Luminex has one clear advantage: The nine co-sponsors manage about 40 percent of U.S. mutual fund and exchange-traded fund equity assets, it estimates. Besides Fidelity, they includeBank of New York Mellon Corp.,BlackRock, Capital Group Cos., Invesco,J.P.摩根资产管理, MFS Investment Management, State Street Global Advisors and T. Rowe Price. Another 175 asset managers have signaled that they would like to sign on.

“I’m sure that this will be successful,” saysManoj Narang.基于Red Bank，新泽西州的高频贸易公司Tradeworx的创始人和前首席执行官。“你在谈论世界上一些最大的资产管理人员。”

Luminex won’t reinvent dark pools, which handled 16.11 percent of consolidated U.S. equity trading volume last year, according to Rosenblatt Securities, a New York–based institutional agency brokerage. That’s slightly off 2013, when volume peaked at 16.63 percent.

“他们并没有试图取代现有的市场结构或接管世界，”罗姆布拉特董事兼伙伴兼洛姆布拉特·卢比克斯·林克斯·林克斯，他将其描述为一个类似的服务，其成功的机会很大。“他们正试图雕刻一个利基，并为资产经理互相交叉而提供低成本的方式。这是一个非常狭隘和明确的目标。“

与其竞争对手不同，Luminex由买方机构拥有并经营。除了从每个人排除但长期的投资者之外，它也将从场地等场地设置自身。另一个差异：Luminex用户必须承诺最低贸易，部分以避免消失的优惠和其他技巧。即使交易匿名持续，也将为成员发布系统的所有各方。

相比之下，今年第一季度的平均贸易的液体网络是43,000股，其主要暗池中的高频交易员，但在美国拥有13个所谓的流动性伙伴，通过其独立的LiquidNet H2O平台参与。“流动性合作伙伴可以向游泳池发送报价，如果会员想要与之交互，但他们可以，但他们不一定，”纽约公司的美国股票主管负责人布伦南·沃布尔说。

洛杉矶的会员规则可能会限制其潜力，陈昌竞争。“它仍然可以看出，对此有多流动，”他说。“再次被证明的时间和时间再次是购买侧聚集器的模型增加了流动性很小。”

哈朗解释说，许多黑池已经发现这种方法不产生太多的卷，所以他们最终要求贸易公司参加。原因：买方交易商基于基本原因，他们往往对特定股票具有同样的意见。纳朗说，这使得难以匹配买方和卖方，特别是以同样的价格。“为了拥有一个健康，运作良好的市场，您需要一系列具有各种时间视野和贸易和投资风格的玩家，以便股票实际上可以交换手。”

Still, Luminex appears to be filling a need. The idea for the platform was hatched two years ago at Fidelity Trading Ventures, which approached 18 major asset management firms that control about two thirds of all U.S. equity fund assets. “We talked with them about their pain points in sourcing equity block trades,” interim CEO Cashel recalls.

他指出，每个人都同意执行此类交易，但他指出了更强硬的事项。机构的一个障碍：由11名国家证券交易所组成的骨折美国交易景观以及35个黑暗游泳池，可容纳街区交易。虽然改进技术有助于购买侧投资者更好地导航，但它不会降低市场的复杂性。为了使事情更糟糕，去年12月平均暗池贸易规模仅仅是207股股份，据Rosenblatt介绍于2009年初的一半。“现在很难找到流动性，”Cashel说。

Asset managers also told Fidelity that they wanted a trading venue with buy-side owners who put the interests of the community before making a buck. “Because all the entities we trade with are for-profit, there is always an incentive to allow others into the pools just to increase the amount of trading that happens within,” says Kevin Cronin, global head of trading at Invesco in Atlanta.

在忠诚与Luminex的共同赞助商中爆发的交易中，来自所有九家公司的主要股票交易员坐在黑暗的池板上，并在设计和运营中发言。富达拥有60.8％的公司，彼此赞助商有4.9％的股权。根据Cashel的说法，成立公司贡献了初创资本，以满足监管要求，并运行LumineX三年 - 根据Cashel的说法，它足够的时间成为自我支持。

“他们基本上希望每月支付租金，”Rosenblatt的Schack说。“这允许Luminex关注体制跨越的体制块，在某种程度上，营利性公司可能无法获得，因为他们专注于最大化利润和股东的回报。”

Cashel说，交易成本将保持低廉，随着经营和资本投资的储备超过现金流量。Luminex打算每股交易与通常的一两支银行收取每股份额的四分之一。“做出了不创造价格战的原因，”Cashel解释道。“这是为了达到留下alpha的规定目标。”

Luminex旨在防止信息泄漏和消失的优惠。用户必须定义​​他们想要购买或销售的最大股票数量，以及他们愿意自动执行的交易的规模，如果配对权可用。后者必须至少为5,000股或价值100,000美元的库存，以较少者为准;Luminex将拒绝任何更小的东西。“通过更大的最小尺寸，它为正在进行实际流动性的参与者增加了实际价值，”基于旧金山的董事总经理和布莱克罗克美洲交易共同主任的Paul Whitehead说。

If orders from a buyer and seller match on the same stock, Luminex is set up to execute the highest number of auto-executable shares the two sides have offered. The trade, if it goes forward, will execute at the midpoint of the current national best bid and offer. It will not immediately execute if Luminex detects an opportunity to boost the size of the trade based on the maximum order amounts entered by each side.

If the potential for a bigger trade is there, both sides will be invited to increase it. They have 20 seconds to decide how much larger a trade they would like, up to the maximum entered with the order. To prevent information leaks, neither side will know what the other entered for a higher trade, and Luminex will execute it based on the highest common number of shares each party has offered.

The trade will be priced using a weighted average midpoint calculation based on the time it takes to determine the total size. If there’s no agreement to size up, Luminex will execute a trade for the highest common number of auto-executable shares, using weighted average NBBO pricing.

对于一些观察者和潜在的竞争对手来说，对Luminex的疑虑持续存在。根据美国黑暗池的交易者，其用户的低交易成本不会转化为最佳执行。“为了获得最大的执行，你需要流动性和丰富的成员，所以你得到了交易的另一边，”他说。“我没有看到系统中添加了足够的新流动性。在我看来，它正在进一步分散。“

“I don’t think we need another dark pool,” he says. “A lot of the trade flow within the dark pool will be subtracted from exchanges, which is not good for price discovery in the broader market.”

但是Rosenblatt的Schack，指出市场已经破坏了，并不认为更有地点会使事情变得更糟糕。“如果他们不想，”没有人会被迫在那里执行“，”他补充道。如果Luminex成功，SCACK表示，它表示，它的创始人希望通过在世界其他地区和其他资产课程中提供类似的服务来扩展。

哈隆认为，目前的监管环境有利于拓展黑暗池。例如，他说，禁止在Dodd-Frank Wall Street改革和消费者保护法案下的欺骗性创造了激励措施。“如果您有大型交易，虚张声势禁令使您无法屏蔽您的意图以缓解市场影响。”在过去，为了获得更好的价格执行，贸易商可以发布Bluffing命令来掩盖他们打算制作的块交易。“禁止虚张声势非常愚蠢，”纳隆说。“它基本上意味着你必须展示你的卡片。”

Come September, Luminex could make trading less of a gamble for anxious buy-siders. •

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