Turquoise, an investment bank-backed multilateral trading facility (MTF is now offering dark order types in its non-displayed order book, following consultation with UK regulator the Financial Services Authority (FSA).
From 16 January, Turquoise participants will be able to enter immediate or cancel (IOC) and fill or kill (FOK) orders on the MTF’s integrated and dark-only order books, without being subject to MiFID’s large in scale (LIS) restrictions.
LIS rules dictate that non-displayed venues which do not base their dark pool prices on the primary markets must use minimum order sizes to be able to waive the requirement to publish pre-trade data, thus preserving anonymity. Minimum order sizes are based on the average daily volume and market capitalisation of a stock, as defined by the Committee of European Securities Regulators (CESR).
However, as Turquoise’s IOC and FOK order types are short term and do not ‘rest’ in pools, they are not subject to these criteria. “IOC and FOK orders by their nature are not transparent, don’t rest in our dark pool or integrated book and therefore don’t need to be restricted to execute at a reference price or be subject to the MiFID large in scale rules,” Duncan Higgins, head of client relationship management, Turquoise, told thetradenews.com. “These changes are being introduced following consultation with the regulator.”
Testing is already available for Turquoise trading participants before this Friday’s go-live date.
The London Stock Exchange (LSE) has also revealed plans to introduce dark limit order types on its SETS order book in Q1 this year. This will be based on LIS requirements because limit orders will have the ability to rest on the order book when trying to find a match.