Chi-Delta™ Non-Displayed Book
Chi-Delta is a stand alone order book launched by Chi-X Europe for non-displayed liquidity. Chi-Delta has been designed to comply with MIFID's pre-trade transparency waivers for non-displayed (hidden) orders. It is a continuously matching order book that supports mid peg matching and uses the market of listing Best Bid and Offer (PBBO) as a source of reference prices.
Fig 1: Trade flow on Chi-X Europe's visible and non-displayed order books
Features & benefits
Reference pegged non-displayed orders that do not meet the 'large in scale' (LIS) criteria can be placed on Chi-Delta. Non-displayed orders that meet the LIS criteria will continue to be directed to the Chi-X Europe visible book for matching. (LIS criteria regarding non-displayed order types do not apply to ETFs)
Chi-Delta supports minimum quantity orders, which help to minimise market impact and signalling risk.
The ability to execute at the mid price, coupled with Chi-X Europe's low trading fees, provides Participants with the potential to make significant basis point savings by trading on Chi-Delta.
Chi-Delta has been designed so that Participants only need to make minimal changes to their messaging interfaces to successfully interact with it. No new legal agreements are required to access Chi-Delta and existing connectivity can be utilised for Participants to access Chi-Delta.
Chi-Delta uses new and existing behaviour to create a market place for non-displayed liquidity that can complement Chi-X Europe's visible order book and allows Chi-X Europe to operate both a market for speed and market for size in an optimised fashion.
Chi-Delta employs the same central counterparty model as Chi-X Europe's existing visible order book so no new processes need to be implemented for post trade processing of executions occurring on Chi-Delta (see figure 1 above).
Chi-Delta has been approved by the FSA and CESR (the Committee of European Securities Regulators) as being fully consistent with MiFID obligations on pre-trade transparency. Its structure as a reference price crossing system also means that regulators are comfortable that it does not disturb price discovery on public lit markets, such as Chi-X Europe's visible book.