The mechanism of PureStream is unique, allowing traders to select a participation rate based on a price and shares of trades that occur in the broader market. Although a significant percentage of the fills reference lit trades, our analysis revealed that fills through PureStream users enjoy little to no adverse post-trade cost, which is a significant improvement over the cost that the original source trade incurred. In general, fills completed through PureStream incurred far less post-trade cost than than trading on exchanges and in traditional dark pools. If PureStream is integrated properly, it can provide traders with a significant benefit, especially if counterparties can be found in difficult to trade names.
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