Are you afraid of the dark? Thanks to Euronext Mid-Point Match, you won't be.
On 18 March 2024, Euronext will launch dark, mid-point and sweep functionalities with Euronext Mid-Point Match.
For the first time, you will be able to trade Euronext stocks without any implicit cost related to latency, whilst benefiting from a unique pool of liquidity fostered by local brokers and investors.
Did you know? 31% of Dark MTF trades happen at stale mid-point prices, leading to an implicit 'latency tax' up to 0.69bps for your execution on London-based MTFs.
Read all about it below.
Quantitative Research Report:
Latency cost on Dark MTFs when trading continental stocks
Authors: Paul Besson - Head of Quant Research, Euronext; Anatole Casimir - Quant Analyst, Euronext
1. How often do Dark MTFs display stale (i.e. outdated) prices on Euronext listed stocks? And what is the opportunity cost of such stale prices?
31% of Dark trades on MTFs are stale.
The opportunity cost per stale trade amounts to 1 tick.
2. What is the overall expected latency cost across different stocks?
The overall expected latency cost for a Dark trade is up to 0.69 bps, and it increases up to 0.89 bps for stocks with larger primary spread.
|
Stock |
% of Stale |
Price absolute |
Latency cost |
Latency cost |
|---|---|---|---|---|
|
Primary spread ≤ 4.1bps |
33% |
1.51 bps |
0.50 bps |
19% |
|
Primary spread > 4.1bps |
29% |
3.02 bps |
0.89 bps |
16% |
|
All Stocks |
31% |
2.27 bps |
0.69 bps ~(31%*2.27bps) |
17% |
3. How will the total cost of Euronext's Dark offering compare to Dark MTFs' total cost?
Euronext Mid-Point Match will have no latency: total cost to trade in the dark will only amount to 0.3 bps (pure dark execution fees).
You will not be exposed to a 'latency tax' when trading on Euronext.
4. How can Buy-side firms estimate their opportunity costs on Dark MTFs?
Ask brokers for the percentage of stale Dark trades, and the implicit adverse opportunity cost on such trades.
5. How can you avoid paying this implicit 'latency tax'?
Connect to Euronext Mid-Point Match: the suite of dark, mid-point and sweep functionalities embedded within Euronext's Central Order Book.
- No latency in mid-point computation
- No latency in sweeping from dark to lit book
- No implicit 'latency tax'
- Unique liquidity including from local brokers and investors
Download the official communication and technical documentation here:
Euronext Mid-Point Match Dark Order Book Go-Live dates for Euronext Cash Markets
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Interested in reading the full quant study? Please request a copy from QuantReports@euronext.com |
Learn more about Euronext Mid-Point Match and dark functionalities from our recent webinars:
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The Euronext Equities team at events - see you there!
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7 March, London FIX EMEA Trading Conference Hear Simon Gallagher, Euronext London CEO & Head of Global Sales, speak on the panel "Fixing Equities" at 14.35, and stop by the Euronext booth to discuss our "Dark Latency tax" quant report with the Equity and Quant teams.
AFME Annual Equities Dinner |
22-24 April, Paris Trade Tech Europe Meet up with Paul Besson, our Head of Quant Research, and Vincent Boquillon, our Head of Equity Trading, during the Buy-side roundtables (Mon 22 April) Hear Emilie Rieupeyroux, our Head of Market Strategy, speak on the panel "Exploring the major market structure themes: how can our industry create an efficient European equities market structure that delivers liquidity and alpha opportunities for investors?" (Tues 23 April)
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For more information
Don't hesitate to contact your sales representatives with any queries or feedback.
Thank you!