Thinking

MiFID II Preparedness Update

Introduction of Large In Scale waiver to POSIT MTF
We are pleased to announce that POSIT MTF is now authorized to use the Large In Scale (LIS) pre-trade transparency waiver. Trades concluded by opposing LIS orders will be excluded from the calculations for the 4% or 8% dark trading caps that will be introduced in January 2018, and will not be restricted if a cap-triggered suspension is in place. We will provide further details on how you can make use of this service as we near the end of implementation.

LIS awareness
In readiness for an increase in venues oriented around LIS, ITG’s algorithms are able to incorporate LIS values when routing orders. Both order size and minimum fill size decisions can use LIS values on both committed and conditional bases.

Conditional orders
Conditional orders have been a part of our liquidity aggregation strategy for multiple years, as ITG’s algos interact on a conditional order basis with POSIT Alert when seeking block liquidity. In addition, two other conditional venues are available, one of which we will add to our standard venue list. We believe that the ability of ITG’s algos to access three conditional venues simultaneously is a first across European equity algorithms.

  • Turquoise Plato Block Discovery
    Access to Turquoise Plato Block Discovery (TPBD) has been an available option since the service was launched in October 2014. Recently, TPBD volumes have increased significantly, with €1.7bn traded in January. Due to the significant liquidity, the low opportunity cost of conditionals and the low price reversion we have observed there, we will now add TPBD to our standard venue list on a conditional basis. This change will take effect March 1, and will be rolled out across algos that seek block liquidity including POSIT Marketplace, Dark Allocator, Dark List, Active and Raider.
  • BATS LIS
    BATS has also launched a conditional order service, BATS LIS, which is available in ITG’s algos on a custom basis. Please let us know if you would like to add this venue to your algorithms.
  • BATS LIS Desktop
    The BATS offering will soon extend to offer a desktop-based service for buy-side clients. Please contact us if you would like ITG to sponsor your access to BATS LIS.

For more information on changes in the dark liquidity landscape, see the Building Blocks of the Future paper. We look forward to engaging you later in the year as we develop further plans around conditional orders and solutions dealing with the future fragmentation and the systematic internalization regime.