J.P. Morgan’s liquidity-seeking algorithm for equities

Using Aqua, you’ll benefit from J.P. Morgan’s state-of-the-art analytical models seeking to optimize execution performance.

Aqua’s Urgency Levels

Aqua’s six user-specified urgency levels range from passive dark participation to aggressive liquidity taking. Urgency levels are customizable and may be configured towards your individual trading objectives.

Urgency Objective Trading Behavior Order Example
Blocks Seek block liquidity at multiple venues simultaneously. Source sizable liquidity at multiple venues simultaneously through the use of conditional order types. Min quantity based on stock characteristics. “Buy 50,000 IBM at the midpoint. Source block liquidity.”
Dark Seek undisplayed liquidity at the mid-point price or better. Post orders across multiple undisplayed venues. Use real-time fill rate information to allocate shares to venues with the highest fill probability. “Sell 25,000 CVS working passively in dark pools.”
Low Seek undisplayed liquidity and trade opportunistically in the lit markets. Work the order passively across lit and undisplayed venues. Capture liquidity in the event of favorable price and size opportunities. “Buy 30,000 COP. Work the order in dark venues, taking size from lit markets when available.”
Medium Participate while searching for undisplayed and outsized liquidity. Participate at a moderate percentage of the market volume. Post orders across lit and undisplayed venues. Take liquidity in the event of favorable price and size opportunities. “Buy 35,000 KO. Trade in-line but post dark and grab outsized liquidity when available.”
High Decisively take liquidity but pace execution to limit impact and allow the order book to replenish. Trade aggressively while allowing for liquidity in the order book to replenish. Simultaneously post passively in lit and undisplayed venues. “Sell 20,000 CSX. Capture stock frequently to complete the order.”
Get Done Aggressively take liquidity up to the limit price. Send an oversized order to sweep up to the limit price. Post in lit and undisplayed venues when the order is not marketable. "Buy 15,000 JNJ, taking stock up to the limit."

Aqua Blocks

Maximizing access to block liquidity can improve your execution performance in today’s fragmented market. Use Aqua Blocks—a new urgency level in J.P. Morgan’s Aqua—to source sizable liquidity and gain comprehensive access to block venues.

Aqua Blocks Venues

Liquidnet H20

Minimum Quantity Matrix1

Price (USD) ADV (shares)
< 500K 500–2M 2M+
< $10 2,000 5,000 10,000
$10–$100 1,500 2,000 5,000
$100+ 1,000 1,500 2,000
  • Sources sizable liquidity at multiple venues simultaneously
  • Conditional order functionality
  • Customizable venue and minimum quantity

1. The matrix figures are default settings that are subject to change.

White Papers on Aqua Quantitative Models*

* Requires a client login for J.P. Morgan Markets.


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J.P. Morgan is a marketing name for investment banking businesses of JPMorgan Chase & Co. and its subsidiaries and affiliates worldwide. J.P. Morgan Cazenove is a marketing name for the U.K. investment banking businesses and EMEA cash equities and equity research businesses of JPMorgan Chase & Co. and its subsidiaries, conducted primarily through J.P. Morgan Securities plc ("JPMS plc"). Execution services are offered through J.P. Morgan Securities LLC ("JPMS LLC") (member of FINRA, NYSE and SIPC), JPMS plc (a member of the London Stock Exchange and authorized by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority. Registered in England & Wales No. 2711006. Registered Office 25 Bank Street, Canary Wharf, London E14 5JP), J.P. Morgan Securities (Asia Pacific) Limited (CE number AAJ321) (regulated by the Hong Kong Monetary Authority and the Securities and Futures Commission in Hong Kong), and other investment banking affiliates and subsidiaries of J.P. Morgan in other jurisdictions worldwide and registered with local authorities as appropriate. Please consult for more information. Prime brokerage services, including clearing and custody services, are offered by J.P. Morgan Clearing Corp. (member of FINRA, NYSE and SIPC). Product names, company names, and logos mentioned herein are trademarks or registered trademarks of their respective owners. These materials are provided for informational purposes only and are not otherwise intended as an offer to sell, or the solicitation of an offer to purchase, any security or other financial instrument. J.P. Morgan does not make any representation or warranty, whether expressed or implied, in relation to the completeness, accuracy, currency or reliability of the information contained in this document, nor as to the legal, regulatory, financial or tax implications of the matters referred herein, and assumes no duty to update or correct such information. All services are subject to applicable laws, regulations and service terms. Please consult for additional disclosures.


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