An algorithm that hunts for size across lit and dark venues, adapting its aggression to what it finds rather than following a clock.
Where scheduled algos ask "what time is it?", a liquidity seeker asks "where is there size right now?". It pings dark venues, rests at midpoints, and crosses the spread when a genuine block appears.
Firms differentiate on anti-gaming logic: pinging reveals information, so the algo must avoid becoming predictable to the high-frequency-trading firms watching for it.
Example: working 300,000 shares, the algo rests 20,000 at the midpoint-peg with a minimum-quantity of 5,000, probes three dark venues every few seconds, and takes any displayed offer above 10,000 shares within its limit. It might finish in an hour or take all day.
Original diagrams for the ideas on this page. Illustrative, not real market data.
The bid-ask spread. Buy orders sit below, sell orders above, and the gap between the best bid (50.01) and best ask (50.04) is the spread you pay to cross. Bar length shows the size resting at each price.
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