London Stock Exchange introduces new MiFID II-ready trading enhancements for block trades

  • 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

London Stock Exchange today announced the introduction of new enhancements to its hidden Mid-Price Pegged Order functionality, designed to facilitate Large-in-Scale dark trading directly on the SETS orderbook.

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.

Brian Schwieger, Head of UK Equity Markets said:

“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.”

The new enhancements will go live on 2 November 2015. A full description of the new service and factsheet is available: www.lseg.com/sets/hidden-orders                                                                                                                  

 - Ends -

 

For further information:

Media

 

Tom Gilbert

+44 (0)20 7797 1222

newsroom@lseg.com

Notes to editors:

About London Stock Exchange Group:

London Stock Exchange Group (LSE.L) is a diversified international market infrastructure and capital markets business sitting at the heart of the world's financial community. The Group can trace its history back to 1698.

The Group operates a broad range of international equity, bond and derivatives markets, including London Stock Exchange; Borsa Italiana; MTS, Europe's leading fixed income market; and Turquoise, a pan-European equities MTF. It is also home to one of the world’s leading growth markets for SMEs, AIM. Through its platforms, the Group offers international business and investors unrivalled access to Europe's capital markets.

Post trade and risk management services are a significant part of the Group’s business operations. In addition to majority ownership of multi-asset global CCP operator, LCH.Clearnet Group, LSEG operates CC&G, the Italian clearing house; Monte Titoli, the T2S-ready European settlement business; and globeSettle, the Group’s newly established CSD based in Luxembourg.

The Group is a global leader in indexing and analytic solutions. FTSE and Russell Indexes offer thousands of indices that measure and benchmark markets around the world.  The Group also provides customers with an extensive range of real time and reference data products, including SEDOL, UnaVista, Proquote and RNS.

Following the acquisition of Russell Investments, LSEG conducted a comprehensive review of the investment management business to analyse its strategic fit with the Group. This was concluded in February 2015, and LSEG is now exploring a sale of the business in its entirety.

London Stock Exchange Group is a leading developer of high performance trading platforms and capital markets software for customers around the world. In addition to the Group’s own markets, over 35 other organisations and exchanges use the Group’s MillenniumIT trading, surveillance and post trade technology.

Headquartered in London, with significant operations in North America, Italy, France and Sri Lanka, the Group employs approximately 4,700 people.

Further information on London Stock Exchange Group can be found at www.lseg.com