SocGen Takes European Liquidity-Seeking Algo Dark

In its first foray into dark liquidity algorithms, Société Générale has added new functionality to its Eclipse liquidity-seeking algorithm that allows the algorithm to seek liquidity on a number of non-displayed European markets.

"Dark liquidity hosted by exchanges and multilateral trading facilities (MTFs) represented 2 percent of the market's volume, or €17 billion ($22.3 billion), in June,” says Stephane Loiseau, managing director, head of execution, at Société Générale.

The new feature, dubbed Block Cross, allows Eclipse to search for liquidity on the investment bank's Alpha-x Europe crossing network as well as the dark liquidity pools run by the Chi-X Europe and Turquoise MTFs.

Block Cross users will be able to set the limit in terms of what percentage of their orders can be executed in non-displayed venues, and can set separate price limits on the displayed and non-displayed portions of their orders.

Société Générale has worked for the past several months to develop the new capability and has tested it internally as well as provided it to two unnamed clients a few weeks ago, says Loiseau.

The bank plans to update clients using Eclipse via its vendor channel, such as Bloomberg, as well as make the necessary changes to the bank's own back end to allow users to maintain their own trading strategies without making changes.

By the end of the end of the month, Société Générale expects to add its fourth non-displayed venue, NYSE Euronext's Smartpool, as a routing destination. "It is consistently the third largest dark liquidity pool in Europe," says Loiseau.