Barclays Capital has released an enhanced version of Hydra, its liquidity-seeking algorithm for equities, in the US.
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 minimise 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 customise these parameters, and can enlist the help of Barclays’ execution consulting and analytics team to develop a data-driven approach for customisation.
The new configuration of Hydra will become the default on 23 January 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,” says Joe Mecane (pictured), 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.”