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Turquoise Block Discovery™ Celebrates First Anniversary

Date 20/10/2015

  • Average trade size 20 times industry dark pool average at over €200,000 
  • 20 brokers now live on Turquoise Block Discovery™
  • Over €1 billion value traded since launch
  • Service providing MiFID II-ready block trading functionality

Turquoise Block Discovery™, Turquoise’s automated conditional order service, today celebrates its first year of operation. 20 leading European brokers now use the service which has seen over €1 billion successfully matched since its launch in October 2014.

Robert Barnes, CEO, Turquoise said:

“Turquoise Block Discovery™ is answering the call for innovation in electronic block trading, achieving in its first year trades in more than 900 stock names across 15 primary markets with average size of more than €200,000 including single trades greater than €5.3m. Turquoise Block Discovery™ is active and working well ahead of MiFID II with half of all Block Indications already above 100% Large-In-Scale.”

Key statistics:

• More than €1bn has matched via Turquoise Block Discovery™ since launch
• Average trade size is €204,110
• Big trades: €5.39m in SAB Miller Plc on 13 October 2015, €5.71m in Hexagon AB on 5 June 2015
• 50% of undisclosed Block Indications, i.e. conditional orders, are above 100% Large-In-Scale (LIS)

Q4 2014
8 Members
€96 million traded 
198 symbols traded

Q3 2015
20 members (up more than 2x)
€324 million traded (up more than 3x)
911 symbols traded (up more than 4x)

With average trade size above €200,000, Turquoise Block Discovery™ is the first innovation to reverse the trend of shrinking trade sizes on electronic orderbooks since their introduction more than 10 years ago in Europe. Today, the average size per trade matched on European lit or dark order books is €10,000 , considerably below the LIS threshold, which for a liquid name is currently over €500,000 as set by ESMA. The need for innovation is pressing: from January 2017, MiFID II will introduce double volume caps that could prevent a stock trading for six months in dark pools in order sizes below ESMA’s LIS.

How Turquoise Block Discovery™ works:

Turquoise Block Discovery™ is a service matching undisclosed Block Indications that execute in Turquoise Uncross™. Being undisclosed, Block Indications avoid signalling. On identifying potential matches, the service requires participants to send firm qualifying block orders to Turquoise Uncross™. Robust reputational scoring and surveillance monitors the conversion of Block Indications into firm orders to optimise the use of the service.

Turquoise Uncross™ is a series of randomised uncross events, which take place between 5-45 seconds (the frequency depending on the liquidity of the security). Buyers and sellers can rest firm orders anonymously with size priority and potential to match at the midpoint of the Primary Market Best Bid and Offer at a time determined by randomised function. Those executing trades in Turquoise Uncross™ are able to minimise interaction with aggressive, low-latency trading strategies as only resting, passive orders are made available to match.