The dataset we report on here consists of several million orders – with a filled value of €9.5bn- that were placed on the Turquoise Plato Block Discovery TMplatform over a 12-month period in the run up to MiFID 2 from September 2016 to September 2017. We will be publishing an in-depth study of our findings later in the year but here present some preliminary results. So how should we measure the performance/benefits of block trading? LiquidMetrix and Plato Partnership have formed a collaboration to study a large dataset of anonymised block orders (taken from the Turquoise Plato Block Discovery TM platform) and come up with innovative ways of extending traditional TCA to encompass modern block trading.
An additional challenge, created by MiFID 2’s more stringent Best Execution rules (RTS 28), will be to measure and quantify the benefits of any use of Blocks. The lead-up to MiFID 2 saw the opening of new block trading venues (CBOE LIS, Euronext Block) as well as significant innovations on existing block platforms such as Turquoise Plato Block Discovery TM, Liquidnet and ITG POSIT.Īssuming block trading does indeed take off during 2018,the first challenge participants will faceis how, when and where to access this new liquidity. It offers the chance of getting large orders filled relatively quickly at a fair price with a ‘neutral’ counterparty. The broad aim of the new regulations seems to be to force smaller orders to execute on lit venues and for ‘dark’ trading to be reserved for larger‘block’ type orders.īlock trading has always been appealing to Buy Side participants. Chief amongst these are the closing of Broker Crossing Networks (BCNs), their partial replacement with Systematic Internalisers and the Double Volume Caps applied to Dark Trading.
MiFID 2 has introduced some key structural changes to the equity trading landscape.
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