A router that simultaneously works an order across many non-displayed venues, consolidating fragmented dark liquidity into one destination.
There are dozens of non-displayed venues, and no single one has enough flow to fill a large order. An aggregator sprays immediate-or-cancel or resting midpoint interest across all of them and manages the risk of over-filling if several respond at once.
Venue selection is the skill. Some pools are full of natural institutional flow; others are dominated by toxic-flow that trades against you the moment you are filled.
Example: 250,000 shares split as 40,000 resting at four pools plus probes at eight more. Fills arrive in clips of 3,000 to 25,000 at the midpoint, saving roughly half the bid-ask-spread — two cents on a four-cent spread, or $5,000 on the order.
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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