Turquoise, the pan-European multilateral trading facility (MTF) majority owned by the London Stock Exchange Group, recorded its second largest day of trading yesterday, topping €5 billion across its dark and lit books.
On 8 April, Turquoise traded €5.4 billion in total, with €4.996 billion of business executed across its lit book alone. The MTF accounted for around 11% of all European equity trading. Yesterday’s volumes were only exceeded during one trading day in August 2011, when activity on all European trading venues rose in volatile market conditions caused by the euro crisis.
Speaking to theTRADEnews.com at TradeTech Europe 2014 in Paris, Turquoise CEO Robert Barnes predicted further growth for the platform as the market increased its focus on block liquidity in response to restrictions on dark trading due to be imposed by MiFID II. “The demand for more mechanisms for trading blocks plays to our Uncross facility and the fact that we prioritise size over time,” he said.
In March, Turquoise grew its share of the European equity market from 7.86% to 8.81%. Over the same period, Europe’s biggest exchange operator by volume, BATS Chi-X Europe, saw its market share drop to 19.66% from 20.97%, according to Thomson Reuters Equity Market Share Reporter. BATS Chi-X Europe said its current 5-day average market share is now up to approximately 21.3%.
Last week, Turquoise confirmed it is looking to introduce a new dark block trading service later this year in preparation for incoming MiFID II rules. Under the new block trading model, currently named Block Discovery, a counterparty will send a block indication, or a parent order, to find a match.
The block indication allows counterparties to place an order without locking it in until they have a match, so members can also send smaller orders to other dark pools and recall them if necessary.
When the Block Discovery service finds a match for the large order, it will send an order submission request to both sides of the trade. Once the match is agreed, both counterparties will then send a passive order to Turquoise Uncross for final matching. Uncross randomised auctions occur between five and 45 seconds, preventing orders from interacting with more time-sensitive flow.
Next month, the European Parliament is expected to vote through rules that limit the amount of trading that can be done in dark MTFs under MiFID II, placing limits of 4% on the amount of trading in an individual stock in individual dark pools and 8% across the European market.
However, the rules do not impact trades executed using the existing large-in-scale pre-trade transparency waiver, which permits trades above a certain size to be executed off-exchange.