Chi-X® Europe Limited, operator of the largest pan-European equity multilateral trading facility (MTF), today announced its intention to launch the “Chi-Delta” (Dark Electronic Liquidity Trading Application) dark liquidity book. Chi-Delta is expected to launch in Q2 2009, subject to standard regulatory approvals.
Chi-X Europe currently offers its trading participants hidden order types in the visible order book, subject to meeting Large in Scale Requirements. Chi-Delta, which has been developed in line with MiFID requirements, will be a separate, non-displayed referenced pegged order book for orders that do not meet the “large in scale” order size requirements.
Prices on Chi-Delta will initially use the Primary Best Bid and Offer (PBBO) as a source of reference prices. European Best Bid and Offer (EBBO) is expected to become the source of reference prices at a later date. Mid-peg, primary peg and market pegged orders will be supported and orders will match on a continuous basis. Trade execution costs for orders posted on Chi-Delta will be waived from launch until 31 August 2009. IOC (Immediate or Cancel) orders will be charged at 0.30 bps for execution. Market data will continue to be disseminated free of charge via the CHIX MD feed, with dark executions flagged accordingly.
“Many of our trading participants have expressed interest in Chi-X Europe adopting a dual market structure that includes a market for speedy price discovery and a market for non displayed crossing,” said Hirander Misra, Chief Operating Officer of Chi-X Europe. “We developed Chi-Delta with this in mind, to help those participants wanting to execute orders whilst minimising market impact by potentially trading with a natural counterparty and limiting information leakage. We continue to find ways in which to innovate and we are delighted to announce the introduction of our dark order book designed to provide further choice for our participants.”