Left in the dark

Currently, it doesn’t really matter whether dark trades are executed under the reference price waiver (RP), large in scale waiver (LIS) or a negotiated trade waiver (NT). However, under MiFID II, the waiver flavour will make a significant difference. Whilst RP and parts of NT will become subject to the clunky double volume cap, LIS will not, so we may expect to see an increase in block trading. But how does an exchange flag a trade that matches a LIS order with an RP order?

Coming up with an appropriate approach is now a pressing issue. ESMA would need to start collecting data to measure for the dark caps as early as January 2016 in order to accumulate 12 months’ worth ahead of the MiFID II go-live date.

Even if exchanges and regulators can agree on a process, and collect data ahead of time, will it be publicly available? My concern is that if it is not, then market participants cannot tune their trading strategies ahead of the 3rd January 2017 go-live. There is simply no way of telling how many instruments may be affected and it certainly seems like we may be left in the dark for a while longer.

Leave A Comment

Copyright © 2017 Fidessa group plc. All rights reserved.

The information contained within this website is provided for informational purposes only. Fidessa will use reasonable care to ensure that information is accurate at the time it is made available, and for the duration that it remains on the site. The information may be changed by Fidessa at any time without notice. We also reserve the right to close the website at any time. No representation or warranty, expressed or implied, is given on behalf of Fidessa or any of its respective directors, employees, agents, or advisers as to the accuracy or completeness of the information or opinions contained herein or its suitability for any purpose and, save in the case of fraud, all liability for direct, indirect, special, consequential or other loss or damages of whatever kind that may arise from use of the website is hereby excluded to the fullest extent permitted by law. Any decisions you make based on the information in this website are your sole responsibility and information on the website should not be relied upon in connection with any investment decision.

The copyright of this website belongs to Fidessa. All other intellectual property rights are reserved.

Reproduction or redistribution of this information is prohibited except with written permission from Fidessa.