Published On: Tue, Sep 20th, 2011

IRESS Releases New Smart Order Router

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IRESS is pleased to announce the latest release of the IRESS Best Market Router (BMR). Seamlessly integrated with the IRESS trading platform, IRESS BMR 1.03 combines ultra-low best market execution latency with significant enhancements, including full configurable support for dark venues and dark liquidity seeking logic. The new release also delivers optimised order event staging, smart low-latency market-data caching, split volume multi-market execution and automated bulk order transfers.

This release reflects IRESS’ ongoing leadership in smart order routing (SOR) solutions. IRESS has demonstrated innovation of its SOR solutions internationally by ensuring adaption to local market conditions including automated support for all marketplace order types, built-in liquidity sourcing strategies and fully configurable execution and booking preferences.

Maximizing Liquidity Hit Rates
IRESS BMR is designed to maximise liquidity hit rates across multiple markets through its aggregated liquidity assessment, dark order processing and low-latency order execution. Through a new optimisation and staging framework for its built-in trade strategies, the IRESS BMR aggressively pursues all available liquidity, initiating successive orders to take out passive volume across preferred markets while maintaining trade through protection.

Dark Pool Support
IRESS BMR supports all existing dark order venues, and stealth targets hidden liquidity within the visible posted spread through hidden order types. Given that a significant portion of liquidity may not be visible on any given marketplace, dark liquidity discovery is an essential mechanism for best execution.

The IRESS BMR can be configured for any number of dark pool destinations, including the IRESS internaliser engine Liquidity Pool (LP), now in production in Australia. In addition to specifying which dark liquidity venues are included on a per symbol basis, clients can define priorities and use options to minimise order exposure, while taking full advantage of price discovery.

Direct Integration with Low-Latency Market Data
IRESS BMR continues to leverage IRESS’ low-latency market data platform, ensuring direct high-speed access to consolidated price and volume data. Smart caching ensures that even under heavy load conditions, market data requests are minimised, thus reducing or eliminating potential latency issues. The result is increased accuracy in venue liquidity assessment and higher execution success rates.

New Features
In addition, the IRESS BMR incorporates several other features, including automated bulk order transfers between markets and multi-market posting.

Automated Bulk Order Transfer: To assist brokers in taking advantage of the features and conditions of different venues, the IRESS BMR incorporates automated bulk order transfers across venues. Firms can set order transfer schedules to maximise execution opportunities at the start and close of the trading day. Bulk order transfers are automatically initiated based on a configurable schedule.

Split Volume Multimarket Execution: The IRESS BMR has also been extended to split passive posting volumes across multiple venues, while maintaining trade through protection. Target volumes can be set by percentage across multiple venues, supporting broker and user specific cost and workflow priorities while optimising fill rates.

“With this release of the BMR, IRESS continues its long tradition of smart order routing innovation,” said Andrew Walsh, Managing Director. “Smart order routing isn’t a set and forget strategy, and can’t rely on generic implementations unable to adapt locally. IRESS has demonstrated the essential willingness and capability to not only optimise around local conditions, but to set the SOR benchmark for regulatory compliance, configurability, liquidity sourcing and defending against preditory algorithms.”

In Canada, IRESS BMR 1.03 has strong demand following the growing number of dark pools and hidden order features. Already used to automatically seek dark liquidity in Australia, IRESS BMR 1.03 will extend capability for clients as the market evolves this year with Chi-X turning lights on in October, and ASX PureMatch launching in November. It is expected that demand for more dark venues and liquidity interchange between participants will grow once lit venue competition commences, and IRESS BMR will provide a flexible and efficient framework for participation.

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