The London Stock Exchange (LSE) is consulting market participants on the introduction of an intra-day auction to take place at 2pm each trading day.
LSE said the move will help to concentrate liquidity and facilitate block trading while providing buy-siders with greater certainty than dark pools.
It has proposed an auction for all stocks traded on both its Stock Exchange Electronic Trading System (SETS) and International Order Book to take place at 2pm and said following the consultation could be introduced quickly as it would be similar to its existing opening and closing auctions.
Initial industry feedback suggested an intra-day auction would be a welcome addition to the LSE. In particular, market participants mentioned that trading in size in the price forming environment of auctions would be beneficial to them.
Average auction trading size on the LSE is £30,000 compared to around £6,000 for continuous trading during the day.
The consultation will run until 17 April and if the intra-day auction is introduced, LSE plans to review it after three months. Market participants can download the consultation here.