Buy-Side Technology Awards: Best Buy-Side Algorithmic/DMA Product or Service─ConvergEx Group (Abraxas)

The algo-development market has become cutthroat in recent years as lifecycles have dwindled, as has differentiation. There are far more vendors touting the latest-and-greatest, but hedge funds have begun to look at these offerings with increasing skepticism, as reliability of what's supposed to be delivered has waned. But ConvergEx has found a sweet spot as Abraxas' volume has doubled year-on-year since its launch in February 2010.

Managing market patterns while containing information leakage for light and dark single-stock trading were imperatives for ConvergEx when it developed Abraxas, which presents itself as a passive algo, although it can seek out more than 30 percent of available market liquidity. As an example, through a correlation matrix, if there is a "buy" order, Abraxas will aggressively buy a stock that is underperforming the desired index and sector. Meanwhile, if it is a "sell" order, it will sell more passively. All things being equal, the algo will figure out the fair value of the stock and create a long-term prediction. According to ConvergEx, once it figures out the fair-value price, it uses a short-term price predictor to determine when and where to trade.

It is this mix of long-term and short-term price prediction, hunting through lit and dark markets, that helps to set Abraxas apart from the competition. An algorithm needs to be able to exploit hidden liquidity while making minimal market impact, and strike on favorable price movements. If that isn't difficult enough, it needs to be customizable and flexible. Many tout this ability, but few, if any, can deliver as well as ConvergEx's Abraxas.

This is the first occasion since 2007 that the win in this category has gone to a provider other than Credit Suisse's Advanced Execution Services (AES).