Shining More Light on Dark Pools

黑色池交易人群中有一种新型的毒性复仇者。

The Barclays LX dark liquidity crossing network has introduced what it calls a “toxicity framework” — a way of policing an electronic trading venue with diverse participants such as institutional traders, hedge funds, high frequency traders and others. Barclays LX does this by closely analyzing and scoring the signs of unwelcome trading behavior, such as consistently taking a large amount of stock that trades at a low average daily volume. Participants who score poorly are asked to adjust their behavior or risk being blocked from the pool. The network also has antigaming technology that protects against trading information being leaked into the market.

And while dark pools run by large broker-dealers — including Bank of America Merrill Lynch, Credit Suisse, Deutsche Bank and Royal Bank of Scotland — also monitor and police trading behavior using quantitative measures, Barclays differs by making its analysis available to clients. It’s the latest in a series of efforts within the industry to shed more light on these much-maligned trading platforms.

“客户正在寻求透明度，”巴克莱美洲电子分销负责人的比尔贝尔说。“他们想匿名在黑暗游泳池中匿名删除库存块，但他们也想了解所有活动的样子。”

芝加哥股权伙伴股权交易总监Tereck Mares是一个欣赏该特征的机构交易员。“很多黑暗的游泳池正在动态地监测，但与客户分享调查结果绝对是创新的，坦率地，应该是强制性的，就像汽车的安全气囊一样，”他说。投资管理的高级交易员Enrico Cacciatore还注意到：“它们在每一个交易中都在全面看，然后对这些信息非常开放，而不是将这些信息保留给自己的其他黑暗池。”

The results for Barclays have been positive: The latest dark pool rankings from Tabb Group and Rosenblatt Securities show that Barclays LX has jumped to the No. 2 spot as measured by trading volume, behind the No. 1 dark pool operator, Credit Suisse, which runs CrossFinder, and ahead of Goldman Sachs, which manages SigmaX.

According to Bell, the revamp of the dark pool has allowed the firm to conduct liquidity profiling that analyzes participants’ activity statistically, from the moment they enter until the moment they leave. “We look at people and how they provide liquidity, take liquidity and how aggressive certain flows are,” he says.

客户可以定期查看泡沫图 - 季度或更频繁地 - 显示自己的行为分为被动，中性或侵略性的程度。然后，他们可以选择他们希望与之互动的这些行为中的哪种行为以及他们想要避免的这些行为。贝尔说，通过行为得分保持“所有人看到”守门池 - 经常与巴克莱磋商 - 客户倾向于开发更频繁地适合被动和中性的概况并且在侵略性营地的贸易流程中更频繁地遵守交易流程，让黑暗的游泳池场地为每个人提供更好的体验。

Bell explains that in the past, dark pool trading venues would monitor in a simpler manner, placing labels on categories of traders — identifying the long-onlys or broker-dealers, for example — and would then ask users what category of trader they wanted to interact with. But ultimately, this did not provide protection from certain types of high frequency trading strategies and other forms of aggressive behavior, as these traders — even if blocked — could reenter the pool via an agency broker. “By using a toxicity assessment tool, we do not allow that to happen,” Bell says.

More than one observer believes that the service represents an advance in dark pool services provided by broker dealers.

“Behavioral scoring approaches the problem of filtering with greater sophistication,” says Justin Schack, managing director and partner at Rosenblatt Securities. He explains that all customers in one category, whether they are institutions or high frequency traders, don’t always behave the same way. So why not focus on trading behavior instead of some slapped-on broker label? “There may very well be an institutional investors that you don’t want to interact with,” Schack says. “Their trading may not benefit you or may make it costly for you to interact with them.” At the same time, he adds, “there may be high frequency traders who are benign counterparties, but you don’t know it until you see how they operate in the pool.”

Matthew Samelson, a principal at research and consulting firm Woodbine Securities agrees. “Behavioral scoring is the next phase of controlling one’s interactions with other liquidity in a dark pool, and the way Barclays is handling this information is innovative,” he says. Cheyenne Morgan, an analyst at Tabb Group, views the use of scoring systems by Barclays as “doing what they need to do to protect customer flow and making sure that customers are not being gamed.”

然而，有些人对系统的功效持怀疑态度或推荐替代方法以避免在黑暗池中的毒性。纽约省博士投资的Ephraim（Effi）Zakry认为，行为仿形可以减少，但不会完全消除黑色游泳池环境中的有毒交易。

“仅仅评估游泳池中玩家的攻击性是不够的，”他说，并指出精明的交易者更有可能适应他们的行为，以符合黑暗的游泳池的要求，但仍然危险。“明智的交易者可以被动，仍然可以接你，”他说，并因此建议贸易商不仅仅是对池运营商的警惕。“黑暗游泳池的交易者应始终分析他们的执行，而且没有虚假的信心，以至于他们在安全的水或流动性池中交易，”扎克里补充道。

Frederick Graboyes，TillualNet算法交易负责人，最大的独立运行的黑暗池，认为专门为机构投资者社区提供的黑暗流动性交易网络是寻求避免有毒流动的最佳选择。亚博赞助欧冠“Bulge Bracket公司允许其他类型的交易员进入池 - 例如：较小的对冲基金和高频交易员 - 这将没有资格在我们的游泳池中，”克拉贝雷斯说。“他们正在将社区暴露在我们的成员来避免我们的所有不同行为。”

但巴克莱的贝尔认为他的公司的方法是广泛的客户的成功交易选择：“我们希望买家和卖家在游泳池中拥有良好的体验。参与者知道我们正在观看的事实意味着我们倾向于获得良好的行为。“