Algo Toolbox series: Barracuda - Liquidity capture combining dark aggregation with lit trading

Key takeaways

• Liquidnet Barracuda is a liquidity-seeking algorithm that combines dark aggregation with lit trading.

• Barracuda achieves high rates of participation with wide liquidity reach across the dark market, with market impact savings from its block executions of 10.0 bps. Overall, it’s market impact is far below the expected impact cost.

• Barracuda outperforms a 10% POV transactions cost model by 17.4 bps. Barracuda delivers strong results against major performance metrics. It outperforms the interval VWAP by 4.8 bps, achieves a participation rate of 65.5% of lit market volumes, and has a slippage versus arrival of just -4.9 bps.

• Barracuda’s opportunistic logic drives its liquidity capture in lit markets and complements its core dark aggregator. Orders that were eligible for opportunistic liquidity capture outperformed those that were not, with a better performance versus arrival and interval VWAP.

This report has been compiled by Gareth Exton, Head of Liquidnet's Execution + Quantitative Services EMEA and Conor Diviney, Execution Consultant

Please refer to the report for all data and sources.