QOTW (Sept 27th 2016): How much time passes from placement to first fill across various dark algorithms?

How much time passes from placement to first fill across various dark algorithms?


Chart 1: Median Latency from Placement to First Fill by Market Cap


Chart 2: Average Fill Size by Latency Group – Large Cap Stocks

  • Dark algorithms allow traders to access valuable caches of hidden liquidity available outside of lit markets. Additional liquidity, less information leakage and lower impact are some of the added benefits of trading in dark pools. Of course, the perks are accompanied by less visibility into the liquidity a trader is interacting with. Latency between placement time and the first execution is often examined as a tool for monitoring execution quality via dark algorithms. We delve into the algo peer database to provide insight into the range of latency times across various dark algorithms.
  • Chart 1 shows the median latency time across eight dark algorithms for large and mid cap stocks. Placements with non-marketable limits were excluded and latency can be attributable to other algo parameters, algo behavior and dark pool or stock characteristics. As expected, latency is longer for the less liquid mid cap stocks than for large cap names. Median latency time for large cap stocks ranged from 1 second to 28 seconds.
  • We theorized that minimum fill size requirements placed on algos could be responsible for longer latency times as algos may have to wait for counterparties with size to become available. The second chart shows no real correlation between latency time and average fill sizes for large cap stocks and indicates that minimum fill sizes are not necessarily responsible for longer latency times.


Dark algorithms that were used by at least ten clients between 1/1/15 and 6/30/16 were included in the analysis. U.S. placements with valid execution and benchmark prices were included. Placements with non-marketable limits were excluded from the analysis.


Refer to ITG Peer Analytics for information on available Peer Related Analytics.

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