Turquoise Plato Block Discovery: low reversion of Turquoise Plato Uncross is positive differentiation
Turquoise Plato Uncross is an innovation that provides randomised uncrossings during the trading day, ideal for larger and less time sensitive passive orders. Turquoise Plato Uncross has been the subject of multiple studies since 2013 by LiquidMetrix, the independent analytics firm that specialises in venue performance metrics and execution quality analysis.
Figure 4 shows that for Turquoise Plato Uncross after one second following execution, the PBBO mid reference price has changed in less than 10% of occasions, as per independent analysis by LiquidMetrix; this compares well with the 50% for continuous dark pools. The insight by LiquidMetrix is that “Turquoise Plato Uncross matching happens at times less correlated with market movements and within the EBBO more readily than continuous dark book executions across all relevant venues”. From an execution point of view, large orders left resting on Turquoise Plato Uncross are less susceptible to gaming or adverse selection that orders left on other continuously matching MTF Dark pools. The proportion of Turquoise Plato Uncross trades executing outside the prevailing EBBO is lower (= better) than continuous dark book trades.”
The value traded via Turquoise Plato Block Discovery in June 2017 was more than 35x the value traded in October 2015, and yet the high quality and low reversion of the Turquoise Plato Uncross™ periodic random matching remains resilient and positively differentiated compared with that of continuous matching dark pools.
Turquoise Plato Block Discovery: high firm up rates and robust reputational scoring
Turquoise Plato Block Discovery has more than two and a half years’ worth of empirical measurements evidencing consistently high firm up rates. These high firm-up rates result from robust automated reputational scoring, which measures the difference between the original block indication and the subsequent firm order.
Since launch, more than 90% of OSRs resulted with firm orders into Turquoise Plato Uncross within the specified time window – under half a second – and with both price and size parameters inside the minimum requirements of the service defined with input from buy-side and sell-side users.
Figure 5 shows that in less than just 9% of OSRs did the respondent fail to come back within the prerequisite core time and size parameters. The key insight is that the vast majority of Turquoise Plato Block Discovery OSRs successfully firm up.
Surveillance of Turquoise activity, including monitoring of price movements ahead of Turquoise Plato Uncross is undertaken by the independent London Stock Exchange Group Surveillance team. Any suspected manipulation of Reference Price will be referred to the UK Securities Regulator, FCA.
A combination of robust automated reputational scoring, independent quantitative analysis evidencing quality of the LIS trading mechanism, and an independent surveillance oversight add to the integrity of Turquoise Plato Bock Discovery for the matching of undisclosed Block Indications that execute in Turquoise Plato Uncross.
Turquoise Plato Block Discovery, designed in Europe and refined in partnership with buy-side and sell-side, has more than two and a half years of empirical evidence and the scale today to be the trading venue of choice for LIS electronic execution.
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