Speaking to BEST EXECUTION, Tiefenbrun discusses how the new sweep order types for Cboe UK and Cboe NL Periodic Auction Books (PABs) will boost liquidity targeting for traders.
The new PAB to Lit Sweep Order Types, which launched 17 July, allow participants to sweep the local Cboe PAB or Dark Book, before sweeping the local Cboe Lit book.
Cboe Europe president Natan Tiefenbrun said: “These new order types allow our participants to target liquidity in up to three of our execution mechanisms (Dark, Periodic Auction and Lit) through a single order. This makes it very simple and efficient for our participants to access greater size or price improvement opportunities, before accessing Cboe’s Lit order books.
“What we’re trying to do is attract both spread-crossing and passive posting flows to our Periodic Auctions. We already see more than 20% of spread-crossing orders finding price improvement in Periodic Auctions.”
The PAB/Lit order type allows participants to use a single Accept-Or-Cancel (AOC) order to check the PAB for marketable contra liquidity (meeting any specified Minimum Acceptable Quantity and Price Improvement) in which case the order is accepted into the PAB book. If the order is not marketable in the PAB, it will immediately target the local Lit book using the original Time In Force of the order.
The Dark/PAB/Lit order type will first sweep the Dark book as an effective IOC before targeting the PAB book as an AOC order. If it is not accepted into the PAB, it will immediately target the local Lit order book with the client-specified TIF.
Dark on Expiry (DoE) functionality can be used as an additional functionality with both new sweeps above, whereby any unexecuted PAB order quantity will be routed to the local Dark book as an IOC following the end of the auction cycle.
©Markets Media Europe 2023
