Chi-Delta is a stand-alone order book for non-displayed liquidity, operating in parallel with Chi-X Europe''s visible order book. Chi-Delta allows buy and sell orders to interact anonymously. Chi-Delta charges 0.30 basis points charged for hidden immediate-or-cancel or fill-or-kill orders and 0.15 bps for all other non-displayed executions. All trades execute at the midpoint of the market of listing''s best bid and offer, providing the opportunity for participants to make significant savings by trading on Chi-Delta. Key characteristics of Chi-Delta include an anonymous system that minimises market impact, the ability to use minimum quantity orders, helping to reduce signalling risk, and price improvement opportunities from executing at the mid-price.
Functionality and order types
Chi-Delta supports hidden limit orders, hidden mid peg orders, hidden immediate-or-cancel and hidden fill-or-kill orders. Orders match according to time priority.
Access and participation
Participation is open to organisations that meet the eligibility criteria set out in the Chi-X Europe rules. Trading participants must be regulated by the FSA or an equivalent authority, or demonstrate that they have sufficient experience in trading in securities and adequate systems and controls. Chi-Delta is not accessible by retail investors.
All of the 1,300+ securities across 15 markets, as well as exchange-traded funds, exchange-traded commodities and depository receipts that are available on Chi-X Europe”s visible book are also tradable on Chi-Delta. Average trade size in Q1 was 1,079 shares, with a value of €9,798 and 34.4 million shares were matched on average in Q1 2011.
Chi-X Europe”s market supervision team monitors the market in real time and T+1 to ensure fairness and integrity and that Chi-X Europe”s regulatory obligations are maintained. Participants are protected by an erroneous trades policy, allowing Chi-X Europe to review an erroneous trade if it determines, in its sole discretion, that circumstances warrant such a review.