SIGMA X crossing network Goldman Sachs

Discussion in 'Order Execution' started by ASusilovic, Apr 11, 2009.

  1. Goldman Sachs Electronic Trading aims to provide clients with the ability to efficiently access liquidity without having to change their trading style or add more steps to their workflow. By offering clients access to an unsurpassed pool of liquidity, we provide opportunities for price improvement and impact minimization.

    Algorithmic Strategies

    Goldman Sachs offers a global, multi-asset suite of algorithms, which includes equities, futures, synthetics and options. The goal of each algorithm is to seek optimal execution based on user-specified trading parameters. To do so, the algorithms access both displayed and non-displayed sources of liquidity via our SIGMASM smart router. US clients can also cross their orders with non-displayed liquidity through our SIGMA X crossing network. In addition, algorithmic trading gives clients access to a range of resources, including analytics, transaction cost analysis and execution strategy consulting.


    Clients trading US Shares can cross orders with non-displayed liquidity in our SIGMA X crossing network. The largest pool of non-displayed liquidity in the U.S.1, SIGMA X is comprised of a customer-to-customer crossing network and a host of external liquidity providers. SIGMA X allows customers to take liquidity from nondisplayed sources and benefit from the aggregated source of liquidity that flows through the firm's infrastructure.

    In Europe, we offer our SIGMA suite of products: liquidity-seeking algorithms, smart order routing and aggregation tools, sophisticated crossing logic and a comprehensive set of analytics. The SIGMA suite enables you to access multiple liquidity sources, both displayed and dark, with no change to your existing workflow.

    Average US SIGMA X Volume in February:
    324 mm shares/day

    The largest pool of non-displayed liquidity in the U.S.
    —TABB Group, 2008

    Anybody experience with Sigma X ?
  2. trom


    Yeah, I use it every day. It's solid. I've gotten filled for pretty big size in illiquid names through it.
  3. CDO´s, CLO´s, too ? :D

    More recently, it has become clear that the nature of dark-pool trading is changing rapidly, and
    that the idea of volatility damping non-displayed volumes is increasingly obsolete. In June, we saw
    that dark activity kept pace with the broader market, despite both volatility and consolidated
    volume reaching their highest levels since March. And in July the tide turned more swiftly, with
    non-displayed markets outpacing overall trading activity by seven percentage points amid as
    strong a volatility-driven spike in consolidated volume as we’ve seen in the past several months.

    Anybody new figures from Rosenblatt?
  5. I would like to know anyone's experience with SIGMA X, are you who are using it, using it to mainly get into and out of shares between the spread? Prints outside? Anyone getting in on the timed cross at 10:30? Trying to learn as much as I can about this. PM if neccessary.
  6. Sintra


    I am using it for stocks. We route to sigma and about 5-10% is executed on sigma X. It will happens, but rarely, that you get a good price outside the spread. We see it simply as an extra liquidity source. I believe the fee is a bit higher than on other exchanges.
  7. Link seems to be broken. Would you mind posting it again. thanx