Börse Berlin Equiduct Trading, the pan-European trading platform of Börse Berlin, is planning to extend the coverage of its Volume-weighted Best Bid and Offer (VBBO) pricing benchmark to cover all liquid securities. Since the start of April, VBBO has been published in real time for 300 of the most liquid European securities on the firm’s web portal. The VBBO will be made available as the best price solely for information purposes until trading begins on Equiduct in the middle of the year.
For purposes of public dissemination, the VBBO will be calculated for both the Standard Market Size (SMS) and also the Retail Market Size (RMS). The VBBO will become a binding execution price with the start of trading, when it will be calculated on the basis of actual order volumes.
Equiduct describes the VBBO as the gateway to pan-European security prices. The benchmark corresponds to the price that investors would receive with ideal partial executions in all key reference markets. The VBBO is based on the visible prices (level 2) at two or more external reference markets. All securities covered by the VBBO must correspond to the Equiduct liquidity criteria, which are updated regularly.
Since being made public in April 2008, the VBBO is calculated for the most liquid shares traded on the London Stock Exchange, NYSE Euronext’s European markets, and Deutsche Börse (Xetra). It is determined by a virtual order book which bundles together all visible pre-trade information and calculates a real-time best price for any given order size.
The real-time information is available free of charge on the firm’s website. For market participants of Equiduct Trading who use the PartnerEx functionality as of the live date, the company claims the VBBO is the best price available on the market at which they can then trade.
Artur Fischer, chairman of Börse Berlin Equiduct Trading, said the process of making VBBO available in real time went without a hitch. “With this information we can demonstrate to market participants the advantages they have when they trade with us and use the VBBO as their execution price.”