Alternative trading platform provider BATS Global Markets has launched two new Parallel smart order routing strategies – Parallel 2D and Parallel T. Both strategies are available on the BATS Exchanges in the US, while Parallel 2D is available on derivatives venue BATS Options and multilateral trading facility (MTF) BATS Europe.
The new smart order routing strategies are intended to complement BATS' default routing strategy, Parallel D, which was rolled out in October. Parallel D splits orders up and sends them to all market centres simultaneously with a quote at a given price level. Each price level is then exhausted before moving on to the next level.
Parallel 2D is designed to achieve the fastest execution possible, by routing enough size to each protected market centre to fill the displayed quotes until the order size is exhausted to the limit price of the order. If the entire order cannot be fulfilled with the displayed quotes, the remaining quantity will be split among the market centres using a BATS over-allocation method. In the US, it routes all price levels at all protected market centres in parallel. In Europe, the program simultaneously routes to all displayed market centres up to a limit price.
Parallel T, available only in the US, routes the order in parallel to protected markets sending the exact quantity of only the protected (top) quote to each market centre. Unlike the other two strategies, Parallel T will not use depth of book quotes to build the routing plan. Once the protected (top) quotes have been accessed, any unfilled shares will be posted to the order book of the originating exchange (either BATS' BYX Exchange or its BZX Exchange, both in the US) provided the order is not an immediate or cancel order.
“These new parallel routing strategies aim to facilitate participants achieving best execution more efficiently while accessing multiple market venues simultaneously and cost effectively,” said Chris Isaacson, chief operating officer of BATS Global Markets.
BATS launched BYX as its second US equities exchange, in October 2010.