The dark pool operated by London Stock Exchange-owned multilateral trading facility (MTF) Turquoise, has continued its recent momentum, becoming the top European dark pool for the first time on a monthly basis.
According to the latest figures from Thomson Reuters for June, Turquoise’s mid-point only dark book traded €4.305 billion, narrowly beating Chi-Delta, the dark MTF operated by Chi-X Europe, which traded €4.3 billion. This marks a significant shift in the value traded for the previous month – Turquoise’s dark book finished May having traded €3.57 billion, while Chi-Delta traded €5.25 billion.
Since its launch in May 2009, Chi-Delta grew rapidly to become the largest dark pool in Europe by November that year.
But in June Chi-Delta lost its leading position for the first time.
A significant contributing factor is thought to be buy-side reaction to a white paper published by US agency broker Themis Trading on 11 May.
The paper, titled ‘Data Theft On Wall Street’, suggested that high-speed data feeds from US exchanges including BATS Exchange and Nasdaq OMX reveal information about hidden order flow, such as buy and sell indicators and cumulative executions of hidden orders, which could be exploited by high-frequency traders.
After the news filtered through to Europe, Turquoise issued a response to the paper, emphasising that its data feeds do not contain potentially sensitive execution information. The next day, trading on the European dark pools operated by Chi-X and BATS Europe fell dramatically, with some sell-side firms reporting that they had stopped routing orders to these pools altogether. Turquoise was the main beneficiary, with its dark pool volumes more than doubled in the same day.
Both Chi-X and BATS took immediate steps to amend their post-trade data feeds following the drop and their volumes are gradually recovering.