LSE Introduces new MiFID II-ready trading enhancements for block trades
14th October 2015
- Latest innovation to facilitate Large-in-Scale block trading
- New functionalities create MiFID II compliant dark liquidity for block trades on the SETS orderbook
- Part of wider LSEG strategy to provide MiFID II-ready solutions
Hidden Mid-Price Pegged Orders allow participants to enter an order, above the Large-in-Scale threshold as specified by ESMA, at the mid-point without displaying either price or volume to other participants. These orders are able to interact with both displayed orders and other hidden orders on the order book. Participants will be able to maximise matching opportunities, interacting with both lit and dark liquidity.
In the post-MiFID II environment, where dark pool trading will likely be constrained, participants using the new functionalities will benefit from a new central destination for trading large blocks of shares in a dark environment.
The specific enhancements include:
- User defined Minimum Execution Size (‘MES’) for all resting Mid Price Pegged Orders.
- Automatic parking of Mid Price Pegged Orders when the midpoint moves outside a specified limit. The order can be re-injected, rather than expiring, into the book when midpoint moves back.
- New Immediate-or-Cancel / Fill-or-Kill order types allowing IOC/FOK orders to be priced at prevailing midpoint of the visible Best Bid/Offer.
“As a Group, we realise the importance of providing customers with as many choices as possible to manage the post MIFID II trading environment in which we will be operating from January 2017. This innovation sits neatly alongside the introduction of the new Intra-Day Auction and Turquoise Block Discovery as part of our strategy of facilitating Large-in-Scale dark trading at a time when traditional tools will be constrained.
“This new functionality is a genuine innovation: a new source of highly adaptable dark liquidity right at the heart of the lit SETS orderbook and immune to the types of latency arbitrage that can affect dark pools.”