LSEG FX is pleased to announce that for the first time on Spot Matching, Price Elision will now allow for separate order book and market data granularity.
- Price Elision has been introduced for limited pairs in this initial phase, namely: AUD/USD, EUR/GBP, EUR/SEK, EUR/NOK, USD/SEK and USD/NOK.
- Price Elision enables customers to leave interest to trade at prices inside the top of book where either the spreads are tick-bound or in order to be more competitive for domestic clients.
- Price Elision is intended to allow customers to execute whilst reducing the risk of pre-trade market impact.
Price Elision pilot saves Matching takers $18.4 per million
The pilot of Price Elision on LSEG FX Matching has saved Matching takers an average of $18.4 per million. This initial phase has been made available across 6 currency pairs.
Over 18,000 trades were observed in the first seven weeks of the pilot, with 117 Takers having enjoyed the benefit so far.
The $/mm gains ranged between $11 and $20 per trade, with an average gain of $18.4/mm, based upon price improvement on aggresses.
What is Price Elision on LSEG FX Matching?
Price Elision is another product enhancement from LSEG FX. For the first time on Matching, Price Elision now enables separate order book and market data granularity.
Limit orders that have a Time in Force can be submitted with extra price precision and will rest in the order book at that level.
Market data will continue to be published at current levels. Limit orders submitted at a price between market levels will have their size available at the next market data level below, for a bid – or above, for an offer.
Immediate or Cancel (IOC) Orders will only be accepted at market granularity. Matches will be created from the Orderbook as standard – from a price/time priority.
Last traded price updates and high/low levels will reflect the executed prices in the venue.
What is the rollout plan?
In the first phase (live from 6 October 2024) we have introduced Price Elision for six limited pairs namely: AUD/USD, EUR/GBP, EUR/SEK, EUR/NOK, USD/SEK and USD/NOK.
For pairs: AUD/USD and EUR/GBP
- Market data and IOC granularity remains at increments of ½ pips (0.00005)
- Resting orders, with Price Elision, and order book granularity of 1/10th pips (0.00001)
For pairs: EUR/SEK, EUR/NOK, USD/SEK and USD/NOK
- Market data and IOC granularity remains at increments of10 pips (0.0010)
- Resting orders, with Price Elision, and order book granularity of single pips (0.0001)
Based on trading behaviour and client feedback, LSEG FX will make a decision about pairs to add in a second phase in early 2025. Candidates would include GBP/USD, NZD/USD, USD/CAD, EUR/USD and USD/JPY.
LSEG FX
LSEG FX offers the world’s leading independent source of trusted FX market insight, interbank and dealer-to-client electronic trading venues, workflow management, and post-trade and regulatory support for both sell-side and buy-side market participants.
For more information, please contact your account manager.
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