Knight Enhances Sumo Algorithm

Knight Capital Group has announced the release of its enhanced Sumo algorithm for institutional block trading in a high-frequency environment.

Sumo uses size discovery and trading signals to identify speed, interaction rate and order size for the effective execution of block trades, while masking client activity. Its size discovery aspect works by identifying large trading opportunities at multiple venues, while its signal-based functionality identifies the best venues for execution. The mitigation of information leakage is a central aspect of the technology.

"Certain high-frequency strategies have adapted to glean more and more information from the slice and spray approach of many of today's buy-side algorithms, making these traditional ‘cost-biased' smart order routers less effective over time," says Joseph Wald, managing director at Knight. "Sumo counters with a ‘size-biased' routing strategy to find larger blocks of liquidity at fewer venues, moving orders through the marketplace in such a way as to reduce information leakage. Through our algorithms, clients reap the benefits of Knight's internal liquidity, massive infrastructure and market structure expertise."