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Chi-X Europe to launch “Chi-Delta” dark book

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Chi-X Europe, operator of the largest pan-European equity multilateral trading facility, has announced its intention to launch the ‘Chi-Delta’ (Dark Electronic Liquidity Trading Applica

Chi-X Europe, operator of the largest pan-European equity multilateral trading facility, has announced its intention to launch the ‘Chi-Delta’ (Dark Electronic Liquidity Trading Application) dark liquidity book.

Chi-Delta is expected to launch in Q2 2009, subject to standard regulatory approvals.

Chi-X Europe currently offers its trading participants hidden order types in the visible order book, subject to meeting large in scale requirements. Chi-Delta, which has been developed in line with MiFID requirements, will be a separate, non-displayed referenced pegged order book for orders that do not meet the ‘large in scale’ order size requirements.

Prices on Chi-Delta will initially use the primary best bid and offer as a source of reference prices. European best bid and offer is expected to become the source of reference prices at a later date.

Mid-peg, primary peg and market pegged orders will be supported and orders will match on a continuous basis. Trade execution costs for orders posted on Chi-Delta will be waived from launch until 31 August 2009. Immediate or cancel orders will be charged at 0.30 bps for execution. Market data will continue to be disseminated free of charge via the CHIX MD feed, with dark executions flagged accordingly.

‘Many of our trading participants have expressed interest in Chi-X Europe adopting a dual market structure that includes a market for speedy price discovery and a market for non displayed crossing,’ says Hirander Misra, chief operating officer of Chi-X Europe (pictured). ‘We developed Chi-Delta with this in mind, to help those participants wanting to execute orders whilst minimising market impact by potentially trading with a natural counterparty and limiting information leakage. We continue to find ways in which to innovate and we are delighted to announce the introduction of our dark order book designed to provide further choice for our  participants.’

Chi-X Europe has also announced that the capacity of its core matching engine has been increased to handle 225,000 messages per second, with full redundancy. With an average internal latency of 350 microseconds and a co-location latency of 400 microseconds, the response times and capacity of Chi-X Europe’s technology are among the fastest in the industry.

‘We have witnessed an explosion in demand for order messaging capacity, and the scalability of our business model has allowed us to  efficiently increase our system’s capacity from 30,000 messages per second when we launched two years ago to the 225,000 messages per second available today,’ says Misra. ‘While we fully intend to continue to innovate to meet our participants’ needs and further increase capacity as necessary, it is interesting to note that the message capacities of some of the incumbent exchanges still remain at levels lower than our initial launch capabilities.’

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