[ S P O N S O R E D C O N T E N T | X E T R A ] take place with every order entry( or modification) into the Xetra Midpoint order book, but also with each event in the central limit order book that results in a new midpoint price. This ensures that resting midpoint orders interact seamlessly with incoming sweep orders, other midpoint orders, or a combination of both.
How is liquidity building up in Xetra Midpoint? While Xetra Midpoint trading is available for more than 350 equities and well above 1000 ETFs, initial liquidity is naturally concentrated on DAX shares where more than 80 % of the overall volume has been traded so far. Across all instruments, as per end of February, 53 % of all trades were“ midpoint order( s) against midpoint order( s)” and 47 % were“ sweep
order against midpoint order( s)”. Interestingly, around 15 % of all midpoint orders, which together account for more than half of the entered order book liquidity, use MAQs.
Of these, the orders that are disproportionately likely to be executed are those with an MAQ around the average trade size. Clearly because they are larger, but maybe also because traders feel more comfortable to leave these orders in the book for longer. The average trade size in Xetra Midpoint is currently in the typical range between ¤ 5,000 and ¤ 9,000 for different shares, however, the largest single trade on Xetra Midpoint so far took place in the Deutsche Telekom share and was above ¤ 1 million.
It is a very positive sign that the increase in trading volumes that we have observed is mainly generated by additional genuine midpoint liquidity that is routed to the market as more and more clients integrate Xetra Midpoint into their algo wheels for dark pool executions, or intensify their prop trading activities.
A substantial fraction of midpoint orders come with a“ good for day” validity, meaning the order is ready to sit passively on the book. However, even today, notwithstanding any further ramp-up activity that we see, there is ample room for additional midpoint executions as the volume of midpoint orders currently entered far exceeds the volume executed.
The Xetra Midpoint order book is dark which makes it difficult for traders and algos to target this liquidity. The easiest way for Xetra participants to tap this liquidity is to use sweep orders by default when trading in the central limit order book. This“ liquidity spillover effect” will automatically increase fill rates and the execution speed of passive midpoint orders and will ultimately also lead to attractive midpoint trading opportunities in those shares where there are currently only few or no executions.
Xetra Midpoint’ s sophisticated design offers a compelling solution for participants who seek dark execution or price improvement for their aggressive trading strategies or want to place high-priority passive orders without the risk of adverse price movements. Volume-time priority, precise midpoint pegging and strict order sequencing thoroughly complement Xetra’ s central limit order book, offering new opportunities for efficient and effective trading.
Visit www. xetra. com / midpoint to learn more and sign-up for our Xetra Midpoint Newsletter.
Issue 83 83 // thetradenews.. com // 23