Turquoise dark pool targets larger trades
London Stock Exchange-owned multilateral
trading facility Turquoise has recalibrated its dark pool to favour members
that trade in larger size.
The matching logic of the MTF’s mid-point
dark pool will now work on a size-time priority, rather than a price-time
priority. This means that the largest orders sent to the pool will be executed
first, rather than those that are sent to the order book first.
In addition, the minimum size limits that
customers can place on their orders have been redesigned.
Previously, minimum size parameters set by
the dark pool’s users could be matched against an aggregated collection of
smaller orders. The redesigned limits mean each individual fill must adhere to
the size threshold set by the member.
Both changes were implemented by Turquoise
“These two changes are part of an on-going
process to differentiate our dark pool and make it a better place for executing
in larger size,” Adrian Farnham, CEO, Turquoise, told theTRADEnews.com.
Farnham added that the introduction of the
two new measures coincided with greater use of the dark pool’s periodic random
uncross functionality, which allows users to avoid short-term order flow.
Orders placed in the periodic uncross participate
in a random auction, held around every ten seconds for liquid stocks.
“This is a pool within a pool designed for
more passive liquidity,” said James Baugh, head of pan-European cash equity
sales at Turquoise. “We worked with our shareholders and members, who are now
offering new order types that allow their buy-side clients to make use of this
Baugh added that trades executed via the
periodic uncross function are up to six times larger than continuous trading in
the mid-point dark pool.
Turquoise’s dark pool was the sixth largest
in Europe last month, trading €1.97 billion or 7.1% of total dark MTF volumes,
according to data from Thomson Reuters. The largest dark MTF was Chi-X Europe’s
Chi-Delta, which executed €5.9 billion, or 21.3% market share.
Turquoise follows Nasdaq OMX Nordic, which
also began matching orders on size, rather than time, priority on 28 May, as
part of a series of measures designed to discourage high-frequency order flow.
A slew of other venues designed to deter HFT participation – including those
from Quote MTF, CA Cheuvreux and Société Générale – are also beginning to