Pan-European trading platform Turquoise is planning to launch a mid-point order book on 14 April, which will allow users to submit dark orders that are smaller than MiFID’s large-in-scale requirements.
Instead of using the large-in-scale pre-trade transparency waiver under MiFID, as Turquoise’s existing dark trading facilities do, the new facility will use the external reference price waiver, and so orders will be pegged to the mid-point of an external best bid and offer.
The service will support minimum acceptable quantities, where users specify the minimum size of orders they are willing to match with, as well as the ability to specify cap and floor price levels.
All trades in the mid-point facility will be subject to immediate post-trade transparency and will be centrally cleared through pan-European clearing house, EuroCCP, which Turquoise uses for all its clearing. Trades in the new facility will be netted with all current Turquoise trades for clearing. The service is available for customer testing.
Turquoise already offers dark trading, but its existing facilities use MiFID’s large-in-scale waiver. This stipulates that orders must be above a minimum proportion of the average daily turnover and market capitalisation of a stock to exempt them from pre-trade transparency. The minimum proportions are specified by the Committee of European Securities Regulators, a European Union body designed to improve coordination among Europe’s securities regulators.
Some market participants have complained that the large-in-scale restrictions have limited their use of Turquoise’s dark book and other platforms using the large-in-scale waiver.