By Erik Banks (auth.)
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Additional resources for Dark Pools: Off-Exchange Liquidity in an Era of High Frequency, Program, and Algorithmic Trading
Though their overarching strategies are meant to capitalize on small price discrepancies that can be exploited through rapid execution (generally by taking liquidity), further revenues are generated in the form of rebates from posting liquidity. This means they are often quoting on both sides of the market, as any normal market maker is obliged to do. However, a key difference exits: while traditional market makers are obliged to quote prices on both sides, in all market conditions (and are subject to regulatory review and scrutiny as a result), high frequency traders face no such obligations – their participation is purely voluntary.
Although the nomenclature and typology of the sector can be a bit confusing, we can generalize by again noting that ATSs/MTFs represent a generic form of electronic trading platform; within that general category we find two important subcategories, namely ECNs (including ELOBs) and crossing networks. S. dates back to 1969, when Instinet (then known as Institutional Networks) was created as a de facto ECN to match incoming orders – though it obviously was not considered an ECN until years later.
Indeed, it is of little use having access to the raw material of securities if the cost of subsequent buying or selling is excessively large. While this may be acceptable for long-term “buy and hold” investors, it is not particularly helpful to the retail or institutional investor 33 34 Dark Pools with a shorter time horizon, and erodes severely the economic returns that can be obtained; in fact, it calls into question the rationale for allocating risk capital. Robust secondary liquidity allows the reallocation of risk capital at a moment’s notice, and helps buyers and sellers achieve specific goals at reasonable cost.
Dark Pools: Off-Exchange Liquidity in an Era of High Frequency, Program, and Algorithmic Trading by Erik Banks (auth.)