Europe Limited, operator of the largest pan-European equity multilateral trading facility (MTF), has announced that its “Chi-Delta” non-displayed order book was launched on 25 May 2009.
Chi-Delta is a non-displayed, reference-pegged order book. It runs in parallel to the existing Chi-X Europe visible order book, and uses the MiFID reference price waiver for pre-trade transparency for non-displayed orders that do not meet the “Large in Scale” order size requirements.
Prices on Chi-Delta currently use the Primary Best Bid and Offer (PBBO) as a source of reference prices, though the European Best Bid and Offer (EBBO) is expected to become the source of reference prices at a later date, subject to regulatory approval. Mid-peg matching is supported and orders match on a continuous basis. Chi-Delta also supports minimum quantity orders, which, as part of the overall offering, help to minimise market impact and signalling risk.
Trade execution costs for orders posted on Chi-Delta will be waived until 31 August 2009. IOC (Immediate or Cancel) orders will be charged at 0.30 bps for execution. Existing trading participants automatically have access to Chi-Delta with no additional documentation required. Market data will continue to be disseminated free of charge via the Chi-X data feed, with non-displayed executions flagged accordingly.
Commenting on the launch, Hirander Misra, Chief Operating Officer of Chi-X Europe, said, “In line with our strategy of continual innovation, we are delighted to have launched Chi-Delta, our non-displayed book. The ability to execute natural liquidity at the mid price, coupled with Chi-X Europe’s low trading fees, provides participants with the potential to make significant basis point savings by trading on both the Chi-X Europe visible order book and Chi-Delta, whilst minimising market impact.”