Elkins/McSherry, a provider of customised trade execution analyses, recently completed a three-month study of the performance of Pipeline’s block execution system. The system combines The Block Market and Pipeline’s new Algorithm Switching Engine. The study showed Pipeline’s customers saved 5 cents in total cost as compared to the average of the Elkins McSherry universe of brokers.
The Algorithm Switching Engine represents a dramatic enhancement to Pipeline’s original block trading capabilities. It incorporates proprietary predictive analytics to manage access to over 100 third-party algorithms, harvesting liquidity from over 30 dark pools and all the displayed markets.
The combination of the Switching Engine and The Block Market enables large institutional customers to completely execute block orders, achieving best execution by minimising the amount of information leaked to predators.
“These implementation shortfall results are especially significant because they reflect not only the zero-impact savings from blocks executed immediately upon entry, but also the savings achieved by our community as they use the Switching Engine to drive block orders to completion through dark pools and other markets,” says Fred Federspiel, president, Pipeline. “Our block execution system is enabling Pipeline traders to significantly outperform their peers, even on orders that aren’t lucky enough to execute when entered.”
The Elkins/McSherry result is independent of any pre-trade market impact model, and instead compares the actual results of orders executed by institutional traders. The savings reported include both the effect of Pipeline’s $0.02 commission, and the reduction in observed implementation shortfall.