Surge Capture soaks up additional liquidity by intelligently targeting the flood of market volume that occurs following a block trade
First solution to launch out of Liquidnet’s new innovation hub, Liquidnet Labs
Liquidnet, the global institutional trading network, today announced the launch of the latest product in its Virtual High Touch suite: Surge Capture. Built to take advantage of the increased volume and volatility that occurs in the market immediately following a block trade, Surge Capture soaks up additional liquidity by seamlessly placing a specially designed order in the market for any unfilled shares immediately after an initial block executes.
“Block trades trigger a ripple effect in the equity markets, with the initial block often being a catalyst for a cluster of more block executions, particularly in the first few minutes afterward,” said Rob Laible, Liquidnet’s Global Head of Equity Strategy. “Surge Capture allows our Members to automatically take immediate advantage of this phenomenon, putting them in position to benefit from positive price swings rather than trying to react to them. Finding that unique block in Liquidnet and opportunistically capturing additional liquidity without impact is truly a win-win for our Members.”
Surge Capture was developed within Liquidnet’s new innovation hub, Liquidnet Labs, and is now the first solution to officially launch out of Labs. Liquidnet Members began pilot testing Surge Capture in late 2016, with consistently positive results. Among them:
- On average, a Surge Capture order adds an additional 19% of volume to the original block execution
- On average, a Surge Capture order will absorb 9 out of every 10 blocks that appear in the minute following the initial block1
- Year to date, 61% of Surge Capture volume has been executed in blocks, with an average Surge Capture block print of 32,500 shares1
- 95% of Surge Capture orders are filled at or better than the mid
- 96% of Surge Capture orders filled in the dark2
Surge Capture is currently available for US and Canadian equities.
“Throughout the pilot program, we heard consistently from our Members about the benefits they are finding with Surge Capture,” said Brennan Warble, Liquidnet’s Head of the Americas. “Ultimately, our Members are the ones creating these block trade market events, so it makes sense that we help them be ready for any immediate liquidity opportunities and favorable price moves that result from their initial execution. Surge Capture is a great example of how innovation and technology can deliver a measurable performance advantage for the buy side,” Warble added.
Surge Capture is an integral component of Liquidnet Virtual High Touch™, a completely new category of institutional trader technology that combines advance data analytics, unique liquidity search tools, advance algorithms, MiFID II solutions, and real-time market intelligence and decision support. Virtual High Touch provides traders with unique decision support and liquidity enhancing tools—both now and in the future—to help determine the best trading and liquidity strategies, monitor market conditions throughout the life of each order, and access an audit trail for best-execution decisions.
1 Based on Liquidnet’s average negotiated execution size of 37,000 shares and 7,000 shares for the average fills of a Surge Capture order (January 1, 2017 – June 1, 2017). Block and Participation Rate based on percentage of eligible volume executed. Eligible volume is that occurring at or better than the order’s limit during the order’s trading interval.
2 Based on 1,652 orders and 140,024,302 shares routed in U.S. equities from 107 Members enabled for Surge Capture in 1Q 2017.
Liquidnet is the global institutional trading network where more than 850 of the world’s top asset managers and other like-minded investors come to execute their large trades with maximum anonymity and minimum market impact. As the global leader in large block trading, Liquidnet provides access to unique trading opportunities in 44 markets across five continents. Liquidnet approaches every market with the same bold vision to provide a better, more efficient way to trade on a massive scale. It is this focus on size, combined with the strength of its network, disruptive technology, and commitment to transparency, that is revolutionizing the way equities and corporate bonds are traded. For more information, visit www.liquidnet.com and follow us on Twitter @Liquidnet.
© 2017 Liquidnet Holdings, Inc. and its subsidiaries. Liquidnet, Inc. is a member of FINRA/SIPC. Liquidnet Europe Limited is authorized and regulated by the Financial Conduct Authority in the UK, is licensed by the Financial Services Board in South Africa, and is a member of the London Stock Exchange and a remote member of the Warsaw Stock Exchange and SIX Swiss Exchange. Liquidnet Canada Inc. is a member of the Investment Industry Regulatory Organization of Canada and a member of the Canadian Investor Protection Fund. Liquidnet Asia Limited is regulated by the Hong Kong Securities and Futures Commission as a licensed dealer and a provider of automated trading services pursuant to the Securities and Futures Ordinance and is regulated by the Monetary Authority of Singapore as a Recognized Market Operator. Liquidnet Japan Inc. is regulated by the Financial Services Agency of Japan and is a member of JSDA/JIPF. Liquidnet Australia Pty Ltd. is registered with the Australian Securities and Investment Commission as an Australian Financial Services Licensee, AFSL number 312525, and is registered with the New Zealand Financial Markets Authority as a Financial Service Provider, FSP number FSP3781.