Chi-X Europe Launches Dark Pool, Chi-Delta

Chi-Delta, a dark order book was launched yesterday, according to Chi-X Europe Limited, operator of the largest Pan European equity multilateral trading facility (MTF).

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 Markets in Financial Instruments Directive (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. The European best bid and offer (EBBO), is expected to become the source of reference prices at a later date, subject to regulatory approval, said Chi-X in the release. 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 minimize market impact and signaling risk.

“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 minimizing market impact,” commented Hiranda Misra, COO of Chi-X Europe in the company’s release.

Trade execution costs for orders posted on Chi-Delta will be waived until Aug. 1, 2009. Immediate or cancel (IOC) orders will be charged at 0.30 basis points for execution. Existing trading participants automatically have access to Chi-Delta with no additional documentation required. Market data will be disseminated free of charge via the Chi-X data feed, with non-displayed executions flagged accordingly.

Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio