BATS Europe

BATS Europe

The BATS Europe Dark Book is an anonymous, price time priority, non-displayed midpoint matching order book. The reference price used is the midpoint of the relevant BBO on the primary market. Executions are charged at 0.15 bps. BATS Europe also offers a dark self cross order type which allows participants to cross only against their own orders at the midpoint reference price, charged at 0.05 bps per side. BATS Europe uses two low-latency market data feeds to ensure an accurate midpoint is obtained during the course of trading.

Functionality and order types

Order types include market order, limit order (time in force, day good till done, immediate-or-cancel), dark self cross.

Access and participation

Access to the BATS Europe Dark Book can be established via direct membership to the multilateral trading facility or indirectly via algorithms offered by BATS Europe members. Approximately 50% of the BATS Europe members are active in the BATS Europe Dark Book.

Instruments traded

BATS” dark pool offers trading in UK, Austrian, Belgian, Danish, Dutch, Finnish, French, German, Italian, Irish, Norwegian, Portuguese, Spanish, Swedish and Swiss securities. Depositary receipts, exchange-traded funds, exchange-traded commodities and exchange-traded currencies are also available. The five-day average executed trade size in FTSE100 stocks is €21,979, €14,607 for CAC40 stocks, €16,083 for DAX stocks and €24,224 for SMI stocks. Around 20 million shares (€160 million notional value) are executed on a daily basis.

Order protection

BATS Europe Dark offers full order ID obfuscation along with trade side indicator set to B (buy). Minimum acceptable quantity can be set on a per order basis to ensure trades are above a minimum size.

Connectivity/sharing agreements

BATS Europe offers onward routing to other pools of non-displayed liquidity but only after accessing its own dark pool and integrated displayed order book.