The Prop Trader's Chronicles: Short-Term Proprietary Trading Strategies for Both Bull and Bear Markets

NYFix MILLENNIUM ATS

The Millennium Alternative Trading System was one of the first dark pool venues used by the first generation of dark pool traders at Swift Trade Securities. The system itself was touted by its operators, NYFix, as having been designed to maximize execution quality, reduce overall transaction costs, and minimize market impact for large traders and institutional market participants. The idea of Millennium was to combine the type of electronic order matching technology used by traditional ECN systems such as Arca and Island with access to dark liquidity.

When Millennium ATS was originally launched, it employed a network of primary exchanges and regional exchanges and offered its own advantage: a real-time order matching algorithm that executed trades at or better than the national best bid and offer.

An order type typically available on Millennium ATS is the stealth order, which passively posts an order using the NYFix Heat Map to split the total share size of the order down into smaller parts and attempts to fill against any dark liquidity showing the most volume at any given time. This allows large traders to effectively seek out dark liquidity.