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Barclays Equities Releases Newly Enhanced Liquidity Seeking Algorithm in the US

Barclays Capital Inc. announced today the release in the US of a newly enhanced version of Hydra®, its liquidity seeking algorithm for equities. The algorithm’s reconfigured features incorporate Barclays’ execution experience as well as feedback from clients to achieve more differentiated execution styles and refined control of interaction with liquidity in the market.

The objective of Hydra is to minimize slippage from the arrival price while seeking additional dark liquidity according to the trader’s level of urgency. The four principal execution styles are Quiet, Neutral, Aggressive and Dark Only. With more parameters governing how the strategy works an order and interacts with dark liquidity, the configuration of each execution style is more distinct. Furthermore, clients can customize these parameters, and can enlist the help of Barclays’ execution consulting and analytics team to develop a data-driven approach for customization.

The new configuration of Hydra will become the default on January 23, 2017, without any further action required from clients. However, clients can elect to use the new version at any time before that date. Additionally, clients can request to continue using the current version at any time.

According to results from early adopters and internal testing, the new configuration is behaving as intended, with greater differentiation across urgency levels.

“Users should notice a marked difference between the execution styles in this new version of Hydra,” said Joe Mecane, Head of Equities Electronic Trading. “In particular, they should see a difference between the participation rates and the percentage of fills from passive, midpoint and aggressive order placement, in line with their chosen execution style.”

The enhancements to Hydra include:

  • Restrike logic to reset the benchmark arrival price as market price deviates
  • New Dark Step Ahead styles that control how much of the remaining order to submit to dark order placement logic
  • A Dynamic Min Quantity for hidden posted orders determined daily for each symbol-venue combination based on historical data
  • A new ATS-only posting option which excludes hidden liquidity on lit exchanges for the purposes of dark order placement
  • Pounce on Marketability function to take outsized lit liquidity when certain conditions are met

Mecane added, “This release of Hydra is a reflection of our ongoing commitment to continuous improvement, incorporating our clients’ feedback and our experience as we invest in our platform and innovate new products.”

Barclays is a transatlantic consumer, corporate and investment bank offering products and services across personal, corporate and investment banking, credit cards and wealth management, with a strong presence in our two home markets of the UK and the US. With over 325 years of history and expertise in banking, Barclays operates in over 40 countries and employs approximately 130,000 people. Barclays moves, lends, invests and protects money for customers and clients worldwide.