Hidden Orders Enhancements

 

London Stock Exchange is enhancing Mid Price Pegged Order functionality by introducing:

  • User defined Minimum Execution Size ('MES') for all resting Mid Price Pegged Orders
  • Automatically parking of Mid Price Pegged Orders when midpoint moves outside specified limit, and are then re-injected into the book when midpoint moves back within the specified limit, rather than expiring
  • new IOC/FOK TIF for Mid Price Pegged Orders, to allow IOC/FOK orders to be priced at prevailing midpoint of the visible Best Bid/Offer.

Participants benefit from: 

  • Additional liquidity destination for dark liquidity seeking algorithms to trade larger blocks in post MiFID II environment
  • No external market data latency when re-pricing of resting Mid Price Pegged orders each time the visibile best bid or offer ('BBO') price changes
  • Ability for resting Mid Price Pegged Orders to interact with both lit and dark contra liquidity by executing against other incoming Mid Price Pegged Orders and other orders priced to cross the prevailing midpoint.

For more information, please contact the Team >