Financial exchanges operator Bats Global Markets Inc (BATS:BATS) will further enhance its Periodic Auctions book with the introduction of a Minimum Acceptable Quantity (MAQ) feature in Q4 2016 for participants seeking to trade in larger sizes.
The new feature provides participants with control over the minimum total execution size of their order, subject to regulatory approval. Orders designated as MAQ will not execute unless the minimum quantity or greater can be fulfilled. This adds to the book’s existing Minimum Order Entry Size restriction of €3,000. Both features are designed to make sure participants can trade with confidence at an increased size with minimal market impact.
David Howson, BATS
David Howson, Chief Operating Officer at Bats Europe, said:
We are pleased to further enhance our Periodic Auctions book with this key feature. This capability was particularly important when we canvassed buy-side and sell-side participants on where we should focus our product development as it allows them to more seamlessly integrate this order book into their SORs and algorithm suites.”
A total of €93 million was traded in the Periodic Auctions book in August, including hundreds of trades in excess of €50,000, as well as some trades in excess of €100,000. Month to date for September, €47.9 million has been traded on the book.
In addition, data from LiquidMetrix shows that these trades had less market impact, and executed at a larger trade size than those on other lit and dark venues.
The Bats Periodic Auctions book, which launched in October 2015, is a separate lit book that independently operates intra-day auctions throughout the day. Orders are allocated on a price/size basis and only executed at or within the European Best Bid and Offer (EBBO) to ensure orderly markets and provide certainty around execution price range. Additional information is available on the Periodic Auctions Fact Sheet.
It comprises one of two new services from Bats Europe that provide a MiFID II compliant solution for participants to execute larger size trades. Last month, Bats also announced plans to launch Bats LIS, a Large in Scale (LIS) block trading service for the European equity market.