One of the most important decisions a trader has to make is how aggressively to execute. The right execution aggressiveness depends critically on short-term alpha. In this issue of , we derive the trader's optimal execution aggressiveness for different short-term alpha estimates.
Goldman Sachs announced today the release of six new algorithms to its electronic trading offering in India.
Goldman Sachs Electronic Trading (GSET) announced today the release of several significant enhancements to the Goldman Sachs Shortfall Model (GSSM). The GSSM generates expected shortfall numbers, which are estimates for the average change in stock price a trader may create by executing an order.
Starting in June 2009, all SIGMA X volumes will be reported on the basis of a of customer-to-customer shares executed in the SIGMA X ATS.
Investors in Hong Kong-listed securities are turning to alternative liquidity pools more rapidly than other markets, according to data from Goldman Sachs Electronic Trading (GSET) following its launch of SIGMA X.
Goldman Sachs Electronic Trading (GSET) announced today the upcoming release of its latest functionality for its SIGMA smart router for clients who trade Canadian and US stocks. SIGMA inter-listed routing seeks best prices across US and Canadian stock trading venues while taking into account real time foreign exchange rates, allowing for single currency settlement.
Goldman Sachs Electronic Trading announced today the release of the latest version of REDIPlus, Goldman Sachs' award-winning execution management system. The release of 9.0 marks the first of two major releases in 2009, and brings clients significant enhancements to options trading and workspace usability features.
Goldman Sachs Electronic Trading (GSET) announced today several new features of its US listed options offering, including three new algorithms (Strike, Pegging, and Volatility Limit), the ability to auto-hedge options orders, and a more diverse offering of connectivity to broker-neutral trading and pricing platforms.
Goldman Sachs Electronic Trading (GSET) is expanding its global crossing capabilities to Hong Kong.
At Goldman Sachs we continuously enhance our algorithms, add new features and introduce new products. But how do we make sure these changes add value? For example, we recently introduced our next generation shortfall algorithm, OptimIS. How do we know that OptimIS is an improvement over the earlier Goldman Sachs shortfall algorithm, 4Cast? In this issue of Street Smart, we explore these questions.
SIGMA X-Cross enables customers to match their orders at scheduled points during the trading day, increasing opportunities for block crossing.
Please be advised that on December 10, 2008, Goldman Sachs Execution & Clearing, L.P has restricted short selling in the following 22 securities pursuant to a SEC Interim Temporary Rule 204T Pre-Borrow (e.g., Clearing Participant) restriction. Please be aware that, in these securities, any representation that you make with respect to an entry in the locate broker field on a short sale order, must represent a pre-borrow that you obtained prior to entering that order.
Beginning November 25, 2008, GSET will begin routing to SIGMA as the default destination for orders entered before the market opens for US listed and ETF symbols. SIGMA Limit orders will be live during this time. The pre-market session ends at 9:29:59 am EST. Please contact your GSET coverage representative for more information.
The latest research from David Jeria and George Sofianos evaluates a sample of passive orders placed by clients directly in SIGMA X by using a framework that compares the all-in-cost (including the clean-up cost) of passive executions with the cost of an alternative aggressive strategy.
GSET announced the release of its newest algorithmic strategy, OptimIS. The new algorithm -- whose name stands for Optimization-Based Implementation Shortfall -- is designed to minimize implementation shortfall by balancing impact cost and price risk while sourcing liquidity.
The latest research from Mark Gurliacci, David Jeria, and George Sofianos examines how current market turmoil is affecting trading costs in general and algo performance in particular.
The latest research from Mark Gurliacci, David Jeria, and George Sofianos examines the affect of the September 19 US SEC short-sale ban on financial stocks. In this brief Street Smart note, we show that during the short-sell ban, quoted spreads on the short-sell ban stocks widened relative to other stocks.
The new dark pool volume record comes at the end of a week of extremely volatile trading. The previous record was 531 mm US shares executed in SIGMA X on September 18.
As the SEC announced in their October 1st statement, the ban on short selling of specified financial securities expires on the third business day after the President signs the economic stabilization legislation. Since Emergency Economic Stabilization Act of 2008 was signed into law on Friday, October 3, 2008, the short sale ban will expire on Wednesday, October 8, 2008, at 11:59 p.m. For more information on SEC Emergency Orders, please refer to the Compliance Notes section of the GSET website.
For more information on the Short Sale Order, please refer to the Compliance Notes section of the GSET website.
During one of the busiest trading weeks in years, Goldman Sachs Electronic Trading hit new volume records across multiple products Over 1.8 billion US shares traded in a single day * 531 million US shares crossed in SIGMA X in a single day * Over 2.3 million US listed options contracts traded in a single day * GS algorithms traded over 576 million shares in a single day * Total SIGMA X volume from 9/15 - 9/19 -- 2.2 billion shares
Passive orders and natural adverse selection.
Extended through August 12 -- SEC Emergency Order Regarding Short Sales in Certain Securities
The recent volume marks a new industry record among US dark pools.
George Sofianos and David Jeria's new Street Smart report continues their investigation of the benefits of crossing orders in SIGMA X
First US dark pool to trade over 300 mm shares in a single day.
SIGMA X crosses record 244 mm US shares on June 12. ¦June ADV = 213 mm shares. ¦Over 1 billion shares executed between June 9 - June 13. ¦Mid & Small Cap Names: 46% of SIGMA X Executions
Goldman Sachs Electronic Trading (GSET) announced today the release of the latest version of REDIPlus, Goldman Sachs' proprietary, award-winning execution management system. The release of v8.0 marks the first of several major releases scheduled for 2008, and will provide clients with substantial product and performance enhancements.
In the United States, Goldman Sachs algorithms cross an increasing amount of orders within SIGMA X, Goldman Sachs' internal pool of non-displayed liquidity. In this issue of Street Smart, we focus on the US VWAP algorithm and quantify the reduction in execution shortfall resulting from SIGMA X crossing.
European SIGMA reaches new records: $1.2 billion executed, with trades in 747 unique stocks. ¦14 stocks crossed over 10% ADV ¦$170MM value crossed outside S&P EURO350 ¦Total Sonar Average Execution Size: $72,000 ¦Sonar Internal Cross Rate: 84% ¦VWAP Internal Cross Rate: 30%
219 mm shares crossed on January 23, 2008
Goldman Sachs has launched a new program which brings together vendors, brokers and service providers that integrate with Goldman Sachs Electronic Trading.
For full story: http://www.finextra.com/fullpr.asp?id=18646
First US crossing network to execute over 197mm shares. Read about our record volume.
GSET's video series help explain the business' equities and derivatives offerings in an increasingly complex electronic trading market. Watch the videos
Trade across different asset classes from equities to foreign exchange across the Americas,Europe and Asia. Learn More