Dark Pool DNA: Improving Dark Pool Assessment

This empirical study based on 517,000 observations from 17 dark pools used by ITG trading systems over a one-month period shows the value in predicting execution quality by fill type rather than simply by dark pool. Using the granular approach in this study, one can better identify low-quality trading situations to avoid, without the opportunity cost of cutting out an entire market center. A simulated trading strategy using the conclusions in...