Sizing Up: SwissAtMid Block Orders

Fragmentation in the European equity trading landscape has complicated accessing liquidity – in particular for the execution of large blocks. Common practices such as sending large orders simultaneously to multiple sources of liquidity contain the risk of dual or overfill, while sequential routing of smaller segments of a large order to different venues might result in negative price impact. These risks can be managed with Indicative Block orders – which are now also available on SIX Swiss Exchange.

Unique Liquidity in Swiss Shares

Simon McQuoid-Mason, Head Equity Strategy at SIX Swiss Exchange, comments: “We embrace the competition for volumes and market share in Swiss equities, both in the lit and in the dark. With our new Block orders, we can match the functionality of competing venues – with the added benefit of offering interaction with existing liquidity in SwissAtMid. A meaningful segment of this liquidity is unique to our non-displayed pool, which means it is not available for interaction with on any other dark conditional venue. This combined with latency efficiencies embedded within our solution design, means our solution offers market participants benefits to finding and securing block liquidity that they won’t find on other venues.”

The new Block order type available in SwissAtMid comes in two variants: indicative (conditional) and binding (firm), with order entry and executions required to be at or above a Minimum Block Order Value Threshold (Large In Scale) that is pre-defined per security. Indicative Block orders enable counterparties, either on one or both sides of a match, to ‘firm up’ prior to trade execution, which mitigates their risk of overfill when working a large block order.

Block Discovery and Enhanced Order Management

Christian Reuss, Head SIX Swiss Exchange, comments: “We always strive to innovate and improve trading on our market. Our new Block orders bring additional USPs for our trading participants – all of which incentivise true block liquidity.”

SwissAtMid has just celebrated its fifth anniversary. The Swiss stock exchange’s own non-displayed pool has established itself as the main source of block liquidity in Swiss shares and delivered over CHF100 million in price improvement value to market participants.

The Block orders are introduced as part of today's SWXess Maintenance Release “SMR10”. The release also features enhancements to the Quote on Demand service, increasing the attractiveness of the Swiss stock exchange as a leading ETF and ETP listing and trading destination in Europe.

Enabling Further Growth in ETF and ETP Trading

Dimitris Mavroudis, ETF/ETP & Fund Product Manager at SIX Swiss Exchange, comments: “With the extension of Quote on Demand to the trading interface OTI and the introduction of ‘Delayed Publication’ for large trades we have taken important measures for the further growth of our ETF and ETP segments.”

Quote on Demand serves as additional pool of liquidity in ETF and ETP trading, enabling our trading participants to improve their execution quality whilst benefiting from on-exchange clearing and settlement efficiencies.

Our website provides more information on Block orders and Quote on Demand. Further details are available in the SMR10 Release Guide.

The Hallmarks of a Great Exchange

SIX Swiss Exchange delivered an extraordinary performance over the past 18 months and is proud to have been named Exchange Group of the Year at the Financial News Trading & Tech awards 2021. We managed record-high volumes without any problems, highlighting the outstanding reliability and dependability of our infrastructure.

• Trading InfoSnack: Stale Prices and the Price of Being Stale
• SwissAtMid: 5 Years and CHF 100 Million in Value for Clients
• Excellence in Exchanges