Dark Pools directory
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| Broker-dealer-owned dark pools | |||||||||||||||||||||||
| Company | Description of Dark Pool | Ownership details | If dark pool operates outside of U S - in which countries and/or markets does it operate? | How many stocks are covered internationally? | Daily volume traded in Dark Pool | User profile | Types of orders traded | Can orders rest in the dark pool for certain amounts of time? | If crossing, how many crosses daily and at what times? | Does this Dark Pool link to other Dark Pools? | Which EMSs include your Dark Pool as a destination? | What is the pricing or rebate structure to remove vs send liquidity? | Are broker-dealer algorithms permitted in the dark pool? | Does dark pool offer IOIs or Negotiation capabilities? | What anti-gaming technology does the dark pool deploy? | Plans for future enhancements? | |||||||
| Barclays Capital LX - Liquidity Cross Barclays Capital Electronic Sales 212-526-1130 www.baclayscapital.com | LCX is a low-latency, high-capacity limit order matching engine that operates on a continuous basis during market hours. Executions occur at or within the National Best Bid and Offer. | Currently Barclays operates dark pools in the US and UK markets. Connectivity to Asian markets is planned. | Average Daily Volume is 55 million share per day as of November 2008 | Traditional asset managers, hedge funds, index managers, retail accounts | Limit and pegged orders. Pegged orders can be tied to the bid, midpoint or offer. | The trader has control over order duration. Both IOC and resting order types are supported. | Yes - LX links to 18 other dark pools of liquidity including 2 other full-service broker dealers, 10 independents, 2 consortiums and several exchange crosses. | Customers can access LX via the Lehman Brothers HYDRA algorithm which is available through many OMS and EMS. | All orders may receive price improvement with posted orders typically receiving up to 90 percent of the spread and transient, IOC orders receiving up to 10 percent of the spread. | Based upon agreements in place there is reciprocal algorithmic access. | No | Barclays Capital employs extensive anti-gaming surveilance as well as providing our clients liquidity tiers and the choice of which tiers they would like to interact with. We also provide performance reporting showing execution venues and price improvement within each venue and each liquidity tier. | |||||||||||
| BNP Paribas BIX Punit Mittal +81 3 6377 3465 punit.mittal@bnpparibas.com http://www.bnpparibas.com/en/home/ | Best execution requirements and practices are pushing all players to reinvent their execution strategies and source liquidity. Capitalizing on a considerable market share on the main exchanges, and leveraging its state-of-the-art proprietary trading technology and infrastructure, BNP Paribas now gives its best clients access to additional liquidity. Apart from the regular benefits such reduced market impact and opportunity cost provided by dark pools, BIX provides anonymous, non-displayed order posting and trading in a unique pool of liquidity, offering all parties the opportunity for price improvement. You can find the other side of your order from any or all of our participants: institutional, aggregated retail flows, asset management or proprietary. All BNP order flow passes through BIX before going to external venues for execution. | Japan, Hong Kong and Europe | N/A | N/A | BIX is utilized by BNP institutional and retail (aggregated flows) clients with various types of order flow as well as BNP algorithms, smart routing and proprietary businesses. | Latent & Transient Orders Pegged(5 points within the spread), Market & Limit Orders | Latent & Transient Orders Pegged(5 points within the spread), Market & Limit Orders | Continuous cross as well as periodic cross | NO | Trading Screen, Fidessa, Tora Trading, Bloomberg, Metabit, FlexTrade | BIX has a flat pricing structure for all shares executed within the system. | YES | NO | •The periodic crossing is done at random time period •All executions are always done at or between bid/ask •No crossing takes place if the bid/ask is not available •No crossing takes place during market auctions •All participants are monitored regularly & any possible gamers are thrown out of the pool | Continued international expansion. | ||||||||
| BNY ConvergEx VortEX Craig Viani 212-468-8413 cviani@bnyconvergex.com www.bnyconvergex.com | Dynamic high-speed dark pool offering a unique and diverse source of agency flow from institutional and wholesale clients as well as our conflict-free block, program trading and transition management desks | ~20-30 million shares | customers include traditional money managers, hedge funds, quantitative institutions and wholesale broker-dealers. All ConvergEx desk order flow accesses VortEx including our block, program trading and transition management groups | Day, IOC, LMT, MKT | Accepts Day and IOC orders. | Continuous | Orders opted into ELP program can route to external dark liquidity. | All major OMSs and EMSs | Yes | Orders opted into ELP program respond to external IOI's | |||||||||||||
| Citi Citi Match Timothy Reilly 212-723-7302 eesales@citi.com | The Citi Match Crossing Network brings together a diverse set of retail, institutional, principal, and broker dealer order flow. Direct, anonymous access is available to Citi Institutional clients. | The U.S., Europe and Australia | 2008: 109 million shares | Global Instituonal Equity Clients | Market and Limit orders | Citi Match is a destination for non displayed liquidity. Citi Match Orders "rest" within the crossing network. | Citi Match is a continuos crossing platform. Pre Open and intra day crosses are in development. | Citi Match is fully integrated with all major OMS and EMS platforms | Citi Match utilizes a traditional commission structure | Citi Algorithms can place "resting" orders in Citi Match. Other broker-dealer algorithms are not permitted to "rest" orders in Citi Match. | No | Citi Match protects clients with sophisticated anti gaming technology. The security of the crossing network is strengthened by Citi's advanced market making technology. | |||||||||||
| Credit Suisse Securities (USA) LLC CrossFinder Dmitri Galinov 212-325-2044 dmitri.galinov@credit-suisse.com www.credit-suisse.com | CrossFinder is a dark pool crossing system that provides enhanced execution quality and liquidity to Credit Suisse clients on a global basis. | CrossFinder is a global offering and is available in most major equity markets including the U.S., Europe and Asia (including Japan). | Q2, 2009 Average Daily Volume - 295 Million Shares | CrossFinder is available to all Credit Suisse clients. | Limit, Market, Peg to National Best Bid, Peg to Midpoint, Peg to National Best Offer, Minimum Quantity, Day, IOC. | The orders can rest from 8:00AM to 5:00PM EST. CrossFinder does not route out orders. | Continous Cross. | CrossFinder accepts orders from several liquidity partners. Direct linkages to other dark pools require IOIs or other related mechanisms and represent a potential source of information leakage. CrossFinder is intended to be a true dark book and as such does not publish feeds of any kind or routes out orders. | CrossFinder is available as an AES tactic on 72 EMSs/OMSs world wide. | CrossFinder rates are negotiated. | CrossFinder is an open platform and accepts orders from Credit Suisse's own Advanced Execution Services (AES) as well as other algorithmic offerings. | No | CrossFinder is a pure dark matching engine based on price/time priority. CrossFinder supports minimum execution quantity. | In Q1, 2009, CrossFinder will significantly improve speed of matching. CrossFinder's matching engine will be moved to Weehawken, NJ (Savvis data center). In Q2, 2009 CrossFinder is planning to trade Canadian securities. | |||||||||
| Fidelity Capital Markets Services CrossStream Matt Kennedy 888-595-0589 matthew.kennedy@fmr.com www.fidelitycapitalmarkets.com | CrossStream is a registered ATS operating as a nonquoting, nondisplay dark book. Advanced order types include market, limit, pegging, discretion, reference pricing and minimum/maximum execution quantity. Matching logic within the NBBO spread helps ensure quality executions with minimal market impact. Price-size matching algorithm helps ensure fair allocation of executions among multiple participants. | U.S. only | N/A | N/A | All types of users, including retail investors, institutions, hedge funds, investment advisers and correspondent broker-dealers. | Day, IOC, Pegged, ISO, derivative pricing. | Yes, CrossStream supports day orders that reside on the order book. | CrossStream is a continuous crossing system. | No, not directly. Through our smart order routing technology, clients may access DarkSweep, our dark aggregation algorithm that links to over 30 non-displayed liquidity pools. | Realtick, Neovest, Bloomberg EMS, Fidessa EMS, AFA Impact Pro, Brass Broker Direct U2, Instinet Newport, ITG Triton, REDIPlus. | N/A | Yes. | No. CrossStream is a truly non-displayed system and does not disseminate information of any kind. | Advanced financial engineering technology helps protect customer orders in CrossStream. | N/A | ||||||||
| GETCO Execution Services, LLC GES Drew Krichman 646-747-0034 dkrichman@getcoexecution.com www.getcoexecution.com | GETCO Execution Services, LLC is a registered ATS with dedicated liquidity provided by GETCO, a global electronic market maker. Subscribers access GETCO's deep liquidity by sending immediate or cancel orders (IOC). Subscribers receive sub millisecond responses for a fill, partial fill or cancel. All executions are at the NBBO or better. GES maintains the full anonymity of both trading counter-parties and unexecuted subscriber quantities are never disclosed. | N/A | N/A | N/A | 150 million single counted | Sell side broker dealers | Market or limit. All treated as immediate or cancel (IOC) | No | N/A | No | N/A | GES rates are negotiable | Yes | No | GES is structured to minimize subscriber risk for any sort of gaming or information leakage. There are no IOI feeds or orders routed out of the ATS and unexecuted order quantities are never disclosed. | ||||||||
| Goldman Sachs SIGMA X 212-357-4255 gset-news@gs.com www.gset.gs.com | Through SIGMA X, Goldman Sachs aims to connect clients to the largest source of non-displayed liquidity available. Our liquidity strategy matches customer-to-customer flow, as well as Goldman Sachs franchise liquidity. SIGMA X offers both continuous and point-in-time matching ("X-Cross"). | N/A | Goldman Sachs’ global crossing network offering consists of SIGMA X (US), SIGMA (Europe) and SIGMA X (Asia). | 4000 Unique Symbols Executed Per Day in the US. All major EU markets, and most Japanese symbols SIGMA X in Hong Kong soon to come. | Average Daily Volume (2008-Q4)~300MM+ Shares (US) | Mixed -- Includes Broker/Dealers, Institutions and Hedge Funds | Peg-mid, peg-bid, peg-ask orders, ping (limit IOC), limit and market orders. Parameters include minimum execution quantity, discretion and minimum discretion quantity. "X-Cross" for the point-in-time match. | Yes, till end of day | Continuous cross as well point-in-time crosses (SIGMA "X-Cross") This point-in-time cross features risk control constraints at the portfolio level. As of December '08, the X-cross occurs at 10.30AM EST, with more to be added shortly. | SIGMA X does not directly link to any other dark pool. GS algorithms do offer direct access to most dark venues, including UBS PIN, MSPool, NYFIX, BIDS, LeveL, Fidelity CrossStream, Instinet CBX, Knight Link, Liquidnet, Pulse BlockCross, Susquehanna RiverCross, BNY Convergex | SIGMA X is offered through a variety of EMSs and OMSs including Goldman Sachs' proprietary trading platform, REDIPlus. | SIGMA X does not offer a rebate to liquidity providers. Specific client rates are case-by-case negotiated. | As part of our unique liquidity access arrangements with UBS and Morgan Stanley, their algorithmic order flow is permitted in SIGMA X. | No IOIs or negotiation capabilites are available. | Real-time monitoring and alerts for large-sized orders, high participation rates, excessive price moves and abnormal spreads. Advanced monitoring tools that allow us to view a particular execution along with all relevant quote/trade data. Regular monitoring of historical performance. Internal checks and balances on DMA and algorithmic flow: ability to set default SIGMA X anti-gaming measures (MAQ, opt-out of certain flows, etc.) at both client and order level. | SIGMA X Block Signals provides users the ability to intelligently communicate and locate block crossing opportunities. Users, posting blocks to SIGMA X, can use Signals to invite potential block contras, to meet them in the pool. These Block Signals represent a ‘FIRM’ opportunity to cross and reveal only side and minimum block quantity for that symbol. | |||||||
| Knight Knight Link Erica Attonito 201-386-2833 eattonito@knight.com www.knight.com | Knight Link is a dark, electronic access point into Knight’s deep, off-exchange liquidity. Knight Link is customizable and enables easy integration into a client’s smart order router, dark liquidity-seeking algorithms or OMS systems as an additional source of liquidity. At Knight, we know that no two client systems are the same, so we have successfully tailored Knight Link to accommodate a wide range of trading architectures and capacity requirements. Our partners benefit from Knight’s cutting-edge technology through reduced market impact and lower execution costs. Additionally, Knight’s innovative technology uses built-in anti-gaming logic designed for your protection. Knight is a preferred destination for clients because of the wide spectrum of covered stocks, rapid execution speed and unparalleled depth in small- and mid-cap securities. This is evident by the unprecedented volume growth. In the past year, average daily volume routed through Knight Link has climbed to 195 million shares a day. | London is Live and Europe will be up and running Q2 | KNIGHT LINK is executing 189 million shares per day. | open to all | market and limit IOC | no | no | Fidessa, Brass, Mixit, Sterling, Belzberg, Reuters, Bloomberg OMS, Inforeach | negotiable | Algorithms can send IOC's to Knight Link. | |||||||||||||
| Knight Knight Match Bill Cronin or Joe Wald 972.232.4013 (Bill), 212.479.2335 (Joe) bcronin@knight.com or jwald@knight.com www.knight.com | Knight Match provides anonymous access and trade execution at a low cost with opportunities to obtain significant price improvement. | N/A | N/A | N/A | Not disclosed | Traditional asset managers, hedge funds and retail order flow through our broker-dealer clients. | Limit Orders, Market Orders, IOC orders, Peg Orders (Primary, Mid and Market) and Minimum Order Quantity | Yes. There is no set period of time. | Knight Match provides a continuous cross throughout the day. | Knight has partnered with some of the largest and most liquid dark pools on the Street. Knight Match now receives both passive (resting) and flow orders of dark liquidity from these partners. | Knight Direct EMS and many other EMSs and OMSs. | Negotiable | Yes | No | To ensure subscribers are efficiently and effectively accessing Knight Match liquidity without disadvantaging one another, we have implemented monitoring procedures to identify and respond to instances of gaming if they occur. | ||||||||
| Knight Capital Group Knight Match Bill Cronin 972-865-0413 bcronin@knight.com http://www.knight.com/ourOfferings/knightmatch.asp | Knight Match is a registered ATS that executes trades by matching Knight’s broker-dealer order flow and reciprocal darkbook relationships with that of buy- and sell-side subscribers. Knight Match provides anonymous access and trade execution at a low cost with opportunities to obtain significant price improvement. | On an average daily basis, Knight Match gives clients the potential to interact with 200 million exchange-listed shares. | Buy Side | Market and Limit | Orders can rest in the pool for as long a period as a client dictates. Orders are never routed out. | Continuous cross | Knight Direct as well as virtually every major EMS and OMS. | Knight Match has a flat pricing structure for all shares executed within the system. | No | No | To ensure subscribers are efficiently and effectively accessing Knight Match liquidity without disadvantaging one another, we have implemented monitoring procedures to identify and respond to instances of gaming if they occur. | ||||||||||||
| Pulse Trading BlockCross Ben Grenier 617.316.5637 bgrenier@pulsetrading.com www.pulsetrading.com | BlockCross allows a trader to find block liquidity first, then decide how big a print to put up. Traders have complete control over which orders are eligible and the types of counterparties to which they are exposed. Information leakage is minimized compared to other dark pool crossing networks. | N/A | N/A | N/A | Buyside & B/D's | Large Blocks, 5k or more | Yes, completely at the discretion of the trader | Continuous Crossing | No but open to strategic opportunities | Bloomberg Triton Info Reach | N/a | Yes | BLKX- IOIs | High minimum trade size, 5k or more. | |||||||||
| UBS Investment Bank UBS PIN Cross/UBS PIN ATS Matt Scoble (NY), Ross Hutcheon (SF) 212-713-9605, 415-352-5606 matthew.scobe.@ubs.com, ross.hutcheon@ubs.com | UBS Price Improvement Network (UBS PIN) is our global crossing network. UBS trades 700-plus million shares a day in the U.S. Nearly half is retail. This means greater diversity of stocks -- from small-cap to large-cap. We have two internal crossing pools in the US: UBS PIN ATS, and UBS PIN Cross. UBS PIN Cross is unique in the industry, giving clients immediate access to cross directly with other algorithmic orders as well as UBS' significant retail liquidity. UBS PIN ATS allows a wide array of UBS US equity liquidity to interact in a signal-free environment, providing greater diversity of high quality US Equity order flow. | Crossing is not a discrete tactic at UBS, but rather a philosophy underlying our suite of electronic trading products and services. In each region we operate, UBS seeks to provide clients the opportunity to minimize market impact in a variety of ways. We provide crossing opportunities inside and outside of UBS in the Americas, Europe and Asia Pacific. | With memberships in some 115 stock exchanges in 36 countries around the world, UBS can provide you with efficient access to quality liquidity wherever you need it. | UBS trades one of every nine shares on a global basis (Autex 2007). In the U.S., UBS trades more than 400 million shares a day. | Corporates, hedge funds, brokers and asset managers worldwide. | Clients have the ability to seek natural crosses with retail and institutional agency order flow in PIN Cross. PIN ATS enables clients algorithmic orders the opportunity to interact with UBS US equity liquidity and that of other select high quality liquidity partners. | Through a variety of order types and algorithmic strategies, a client may set parameters to balance urgency and speed -- determining how long an order can wait for a cross before seeking execution in the displayed markets. | Continuous cross. | UBS provides algorithmic trading strategies that enable clients to access available liquidity in UBS PIN, as well as in other displayed and nondisplayed markets. This includes ECNs, ATSs, the major dark pools and the exchanges. | UBS operates with an open connectivity model. All major EMS and OMS systems can connect to UBS and tap the power of UBS PIN. We also offer clients the opportunity to connect to us via our FIX gateway. | NA | Select liquidity partner broker-dealers' algorithms may access PIN ATS (only). | UBS PIN Cross and UBS PIN ATS are 100% dark: No IOIs or signalling of any kind are allowed. | UBS PIN Cross and UBS PIN ATS do not provide intervening layers of order management logic - since they are accessible only by algorthimic order types. By carefully managing participants, UBS can limit the risks related to information-seeking flow within UBS PIN. UBS PIN Cross acccepts only UBS client algorithmic order flow, and UBS PIN ATS accepts algorithmic order flow from UBS desks and a selective list of liquidity partner broker-dealer algorithmic orders. There is no order book and no signalling allowed with UBS PIN. | |||||||||
| Consortium-owned dark pools | |||||||||||||||||||||||
| Company | Description of Dark Pool | Ownership details | If dark pool operates outside of U S - in which countries and/or markets does it operate? | How many stocks are covered internationally? | Daily volume traded in Dark Pool | User profile | Types of orders traded | Can orders rest in the dark pool for certain amounts of time? | If crossing, how many crosses daily and at what times? | Does this Dark Pool link to other Dark Pools? | Which EMSs include your Dark Pool as a destination? | What is the pricing or rebate structure to remove vs send liquidity? | Are broker-dealer algorithms permitted in the dark pool? | Does dark pool offer IOIs or Negotiation capabilities? | What anti-gaming technology does the dark pool deploy? | Plans for future enhancements? | |||||||
| BIDS Trading The BIDS ATS Sales 877-566-2437 sales@bidstrading.com www.bidstrading.com | BIDS Trading was formed by a consortium of financial institutions to create a highly liquid, low-cost, industry-sponsored service for block traders. The BIDS ATS block-crossing network maximizes large order execution by allowing traders to find legitimate trading counterparties without prematurely revealing trading intentions. BIDS Trading is a member of the NYSE, NASD, FINRA and SIPC. | Bank of America Citi Credit Suisse Group Deutsche Bank Goldman Sachs Group JPMorgan Chase & Co. Knight Capital Group Lehman Brothers Merrill Lynch Morgan Stanley NYSE Euronext UBS | N/A | N/A | The BIDS ATS had an average daily volume of 27.8 million* shares in October of 2008. (*Volume figures are double-counted to include both sides of the transaction) | The BIDS ATS is open to both buy-side and sell-side firms. | The BIDS ATS supports both firm and conditional orders. Conditional orders allow traders to work their order in multiple venues simultaneously. | Yes, the trader can dictate the length of time to rest an order. | The BIDS ATS is a continuous cross. | No. The BIDS ATS is a destination, and there are other dark pools that route to BIDS. The BIDS ATS does not route outbound except to satisfy NMS if applicable, and it will route to the NYBX upon customer request only. | The BIDS ATS is currently connected to over 16 technology systems. | BIDS Trading uses a sponsored access model. The Sponsoring Broker and the buy-side client negotiate the commission rate. | Yes. | The BIDS ATS does not use IOIs; orders are not exposed to other destinations. BIDS Trading’s solution to fragmentation is the conditional order which can be submitted into BIDS. A conditional order is similar to an IOI, but with accountability. | The BIDS ATS ensures order protection through behavioral profiling, minimum block size and price discretion. BIDS Scorecards™ and BIDS Filters™ give traders additional control over their trades, letting them decide to whom they want to disclose information. In addition, each trader determines the size of a block, on an order-by-order basis. No counterparty with a size less than the specified minimum receives any information about the order. | BIDS Trading recently launched the BIDS Trader interface. BIDS Trader integrates into a trader’s OMS, and with one-click, allows them to mirror their uncommitted volume in the BIDS ATS. | |||||||
| LeveL ATS eBX LLC Whit Conary 617-350-1601 Whit.Conary@LeveLATS.com www.LeveLATS.com | LeveL ATS is a U.S. Equity dark book trading platform that provides for multi-tiered crossing opportunities. LeveL’s innovative structure maximizes liquidity and provides best execution while minimizing information leakage and market impact. LeveL has emerged as a leading liquidity source with notable price improvement, low latency and nominal fees. | N/A | N/A | LeveL executed an average 118.4 Million Shares per day in November 2008. | LeveL is available to all Broker Dealers or customers that are sponsored by a Broker Dealer. | LeveL has two order types, IOC orders and Intents (Resting orders) Orders that will be accepted are limit, market and midpoint IOC. Intents can be pegged to the primary (same side of market), midpoint, or market (opposite side of market) and have the capability to require a minimum quantity and block minimum quantity. | Intents (Resting Orders) can rest in LeveL for any chosen amount of time within a day. | LeveL is a continuous crossing dark pool. | LeveL does not link with any other systems and does not disseminate data. | N/A | LeveL is Free to provide liquidity and $.0005/share to take liquidity. | Yes | No | LeveL Allows for two types of minimum size execution. LeveL also allows customers to build a list of trusted counter-parties. | LeveL is developing a Block Order Type to be delivered in the first quarter of 2009. | ||||||||
| Exchange-owned dark pools | |||||||||||||||||||||||
| Company | Description of Dark Pool | Ownership details | If dark pool operates outside of U S - in which countries and/or markets does it operate? | How many stocks are covered internationally? | Daily volume traded in Dark Pool | User profile | Types of orders traded | Can orders rest in the dark pool for certain amounts of time? | If crossing, how many crosses daily and at what times? | Does this Dark Pool link to other Dark Pools? | Which EMSs include your Dark Pool as a destination? | What is the pricing or rebate structure to remove vs send liquidity? | Are broker-dealer algorithms permitted in the dark pool? | Does dark pool offer IOIs or Negotiation capabilities? | What anti-gaming technology does the dark pool deploy? | Plans for future enhancements? | |||||||
| BIDS Holdings and the NYSE Euronext New York Block Exchange (NYBX) BIDS Trading/NYSE Euronext BIDS Trading – 1.877.566.2437/NYSE - 1.212.656.3000 info@bidstrading.com/crs@nyx.com www.nybx.com | The NYBX is a joint venture between BIDS Holdings and the NYSE Euronext. The NYBX unites the liquidity of the NYSE with the anonymity, speed and flexibility of the BIDS ATS. The NYBX is open to all members of the NYSE. | N/A | N/A | N/A | N/A. The NYBX will launch in January 2009. | All NYSE members may access NYBX’s dark liquidity directly through the NYSE. BIDS Trading clients can simply “opt in” to NYBX liquidity for all orders or on an order-by-order basis. BIDS Trading is open to all broker-dealers, investment managers, hedge funds and algorithms via a sponsored access model. NYBX allows non-displayed block liquidity to anonymously access the liquidity of the NYSE market — both displayed and non-displayed liquidity. Orders may be entered through the NYSE or through the BIDS ATS. Traders may set different prices and minimum trade sizes in each venue. The NYBX is open to all market participants. | Auto-match, firm orders. Orders can be conditional in BIDS Trading and firm in the NYBX, taking advantage of opportunities in both liquidity pools. | N/A | The NYBX is a continuous cross. | No. | Seventeen technology providers currently have access to the BIDS ATS, including many major EMS providers. | For pricing information please contact the appropriate sales people. | The NYBX is open to all market participants, including algorithms via a sponsored access model. | The NYBX does not send out IOIs. | Whether accessed through BIDS Trading or NYSE sponsorship, all order details in the NYBX remain anonymous, right through clearing. NYBX uses the latest technology to ensure that neither side reveals information about their identity or trading intentions. Users may set a minimum size requirement on an order-by-order basis or as a default percentage for all orders. No counterparty with less than the specified minimum will interact with your order. | ||||||||
| ISE Stock Exchange MidPoint Match Bryan Harkins (201) 942-8204 directsales@directedge.com www.isestock.com | MidPoint Match (MPM) is a continuous, exchange-based dark pool for trading equity securities at the midpoint price of the National Best Bid and Offer (NBBO). MPM accepts round-lot orders of any size. | ISE Stock Exchange is a wholly owned subsidiary of Direct Edge ECN. It currently operates as an exchange facility of ISE LLC. | N/A | Approximately 7,800 securities are traded through MidPoint Match. | ISE Stock Exchange reports aggregate daily volume for both MidPoint Match and its integrated displayed market. Total average daily volume for November 2008 was 135.6 million shares. | MidPoint Match was designed to support both large and small orders and is open to both the buy- and sell-side, although it is accessed through the sell-side. | - Standard MidPoint Match Orders: A Market or Limit Order. - Minimum Execution Quantity: The order will remain unexecuted until the aggregate size of contra-orders is sufficient to satisfy the Minimum Execution Quantity. - Solicitation of Interest (SOI) Orders: The ticker symbol of an SOI order is broadcast to inform market participants that an order is present. SOI originators gain priority against inbound orders for a 10-second period. | Yes. If a standard MPM order is not immediately executed, it will rest in the MPM order book until cancelled or until the end of the trading day. | MidPoint Match is a continuous platform. | No. | Fidessa InstaQuote Lava Trading MIXIT Neovest Portware Orc Software Order Execution Services | A.D.V. Up to 1,000,000 shares: $0.0015/share A.D.V. From 1,000,001 to 3,000,000 shares: $0.0010/share A.D.V. Over 3,000,000 shares: $0.0010/share (applied to all volume) | Yes. MidPoint Match is algorithmic-friendly and accepts round-lot orders of any size. | Solicitation of Interest (SOI) orders. The ticker symbol of an SOI order is broadcast to inform market participants that an order is present. SOI originators gain priority against inbound orders for a 10-second period. | MidPoint Match is a completely dark trading venue. | ||||||||
| NYSE Euronext MatchPoint Jim Ross 212 656 2268 jross@nyx.com www.nyse.com/MatchPoint | NYSE MatchPoint is a non-displayed, point-in-time, portfolio-based exchange facility. It operates scheduled matching sessions for portfolios and block orders during regular and after market hours. | NA Yet | NYSE member firms and their customers | Completely non-displayed orders, portfolios with constraints, market and limit orders | Prior to each matching session, orders accumulate(rest) within MatchPoint but are not firm until the matching process begins. Users may enter or cancel their orders at any time except during the brief match processing period (about 5-10 seconds). | MatchPoint operates 8 daily matching sessions. During regular market hours, they occur every hour on the hour from 10:00 to 3:00 and an additional match at 9:45 AM. After regular market hours, there is a 4:45 PM match. | No | FlexTrade, Portware, Tradeware, OES, RealTick, Fidessa, Neovest, ITG Triton, Inet Newport, Sungard, Mixit, RediPlus, Algorithmic Trading Mgmt, GL Trade, FTEN | MatchPoint's fee schedule has no charge for internal matches within a user's orders and .0015 cps for executions between users. | Yes | No | NYSE Regulation and MarketWatch provide independent surveillance and enforcement oversight for MatchPoint. Intraday matching sessions randomly select match price within a one minute window. Price Collar Thresholds for the 4:45 PM match. | Enhance portfolio and block trading capabilities, NYBX integration, new matching sessions | ||||||||||
| SWX Europe SWX Swiss Block David Fuchs 00 41 58 854 25 74 david.fuchs@six-group.com www.swxeurope.com/swissblock | SWX Swiss Block is the neutral non-displayed liquidity service for Swiss blue-chip securities, owned and operated by SWX Europe, and developed in partnership with NYFIX. | Not applicable. | Operates in the Swiss equity market. | The 30 constituents of the SLI Swiss Leader Index. These are the largest and most liquid Swiss stocks and include the SMI Swiss Market Index securities, and a number of former constituents of the SMI which remain traded on SWX Europe. | Figures undisclosed. | SWX Swiss Block is open to all firms that are regulated market professionals seeking liquidity in the Swiss equities markets - buy-side and sell-side. | SWX Swiss Block receives proprietary, agency and direct investment management order flow. SWX Swiss Block include two main order types - Conditional orders and Pass-through orders. | Orders reside in SWX Swiss Block matching pool until fully filled, cancelled or they expire. The maximum period of order validity is the current trading day. | No, SWX Swiss Block does not operate scheduled matching algorithms. SWX Swiss Block provides real-time matching algorithims. | Yes. SWX Swiss Block link to various liquidity pools of the several users of SWX Swiss Block. It provides a powerful tool for aggregating and accessing non-displayed liquidity for the Swiss equity market. | SWX Swiss Block is integrated with several of the leading European trade order management (OMS) and execution management (EMS)systems to enable efficient access to the pool from/within a trader's exisiting workflow. | There is no additional - or membership-fee - for joining the service. The pricing model does not differentiate between aggressive and passive orders, because it is not possible for participants to know whether their order will act aggresively or passively when entered into a dark pool. | Yes they are. | SWX Swiss Block is completely dark and does not disseminate IOIs. | SWX Europe constantly monitors the order flow in SWX Swiss Block and reviews the way people are executing it to make sure it remains a fair and neutral place to trade. Additionally, SWX Swiss Block provides clients with a number of advanced order conditions that allow them to protect their orders. These include minimum exection size requirements, upper/lower price collars for the pegged orders, and controls to exempt orders should the primary market spread widen/narrow beyond a specified tolerance. | We plan to continue expanding the reach of SWX Swiss Block and will continue to enhance the service based on our clients needs. | |||||||
| Independent dark pools | |||||||||||||||||||||||
| Company | Description of Dark Pool | Ownership details | If dark pool operates outside of U S - in which countries and/or markets does it operate? | How many stocks are covered internationally? | Daily volume traded in Dark Pool | User profile | Types of orders traded | Can orders rest in the dark pool for certain amounts of time? | If crossing, how many crosses daily and at what times? | Does this Dark Pool link to other Dark Pools? | Which EMSs include your Dark Pool as a destination? | What is the pricing or rebate structure to remove vs send liquidity? | Are broker-dealer algorithms permitted in the dark pool? | Does dark pool offer IOIs or Negotiation capabilities? | What anti-gaming technology does the dark pool deploy? | Plans for future enhancements? | |||||||
| INSTINET • Instinet CBX Contact: Instinet US Sales Phone: 877-467-8463 Email: newaccountsales@instinet.com • Web: www.instinet.com | • Instinet CBX is a continuous dark pool that aggregates liquidity across Instinet’s order infrastructure – over 3b shares daily – and through reciprocal links to selected external dark pools. CBX does not send IOIs or route orders and uses an ultra-low latency to minimize opportunity cost. | • N/A | • N/A | • Instinet executes roughly 75 million shares/day across its U.S. dark pools. | • CBX is available to both the buy and sell side. | • CBX supports all advanced order types (i.e. hidden, peg, reserve, limit, discretionary, partial penny executions, minimum quantities, etc.) | • Yes, traders can set orders to rest in CBX for specified lengths of time (in addition to IOC and FOK), though CBX does not route out orders. | • N/A | • No. Traders can reach 20+ U.S. dark pools, including Instinet CBX, through Instinet’s Nighthawk dark aggregation algorithm, but CBX does not route out orders. | • Instinet’s Newport 3 and Trading Portal include CBX as a destination, as do many third-party trading systems including InfoReach, Portware and Trading Screen. | • Instinet CBX pricing is based on a revenue share basis, and does not employ a rebate pricing model. | • Yes, though Instinet carefully vets its partners | • CBX will accept IOIs, but does not send IOIs. | • Instinet’s Nighthawk dark aggregation algorithm uses sophisticated submission tactics and anti-gaming logic to avoid predictable trading patterns other market participants could exploit. We encourage all clients to access CBX through Nighthawk. In CBX, Instinet operates as fast and efficient an order book as possible, and provides advanced order functionality to enable clients to set their own anti-gaming parameters. | • Instinet will continue working closely with our clients to introduce system enhancements based on client demand. | ||||||||
| INSTINET • Instinet Crossing Contact: Instinet US Sales Phone: 877-467-8463 Email: newaccountsales@instinet.com • Web: www.instinet.com | • Comprised of 11 daily crossing matches, Instinet Crossing provides clients trading US stocks multiple ways to access liquidity, reduce market impact and gain price and size improvement in a completely anonymous environment. | • N/A | • N/A | • Instinet executes roughly 75 million shares/day across its U.S. dark pools. | • Instinet Crossing is available to both the buy and sell side. | • Instinet Crossing supports market, limit and minimum fill orders, as well as cash and sector constraints on portfolios | • Instinet Crossing consists of three individual call markets – three pre-market VWAP matches, seven intra-day matches, and one after-hours cross. For the VWAP and intraday crosses, clients can allow orders to roll over to subsequent matches during the trading day. | • VWAP Cross - 8:35, 8:50 and 9:15 a.m. ET: Priced at 4:10 p.m. ET and allows users to lock execution quantity and receive that day's primary exchange VWAP for listed stocks and consolidated VWAP for OTC stocks. • Intraday Cross - 9:50 a.m., 10:50 a.m., 11:50 a.m., 12:50 p.m., 1:50 p.m., 2:50 p.m. and 3:50 p.m. ET: Price snapped randomly during match window at market mid-spread prices. • Overnight Cross - 6:30 p.m. ET: Protection from late-breaking news and priced at primary market’s closing price. | • No. Traders can reach 20+ U.S. dark pools, including Instinet CBX and Intraday Cross, through Instinet’s Nighthawk dark aggregation algorithm, but Instinet Crossing does not route out orders. | • Instinet’s Newport 3 and Trading Portal include all Instinet Crossing matches as a destination, as do many third-party trading systems including InfoReach, Portware and Trading Screen. | • Instinet Crossing’s pricing is based on a revenue share basis, and does not employ a rebate pricing model. | • Yes, though Instinet carefully vets its partners. | • No. | • Match prices are snapped randomly during the match window, and Instinet Crossing’s trading staff protects Overnight Cross clients against late-breaking news. | • Instinet will continue working closely with our clients to introduce system enhancements based on client demand. | ||||||||
| Investment Technology Group, Inc. POSIT(R) Chris Heckman 212 444 6300 info@itg.com www.itg.com | ITG's POSIT® crossing destinations give buyers and sellers opportunities to match equity orders with complete confidentiality, access to diverse liquidity pools, no market impact, and the cost savings of midpoint pricing. | Europe, Canada, Asia Pacific | All in US/Canada, major markets in Europe, selected markets in Asia Pacific | We do not disclose volume. | More than 700 institutional clients currently participate in POSIT, comprised primarily of institutions, broker-dealers and hedge funds. | All listed and NASDAQ OTC equities, including ADRs and ETFs, are eligible to cross in POSIT. No derivatives or fixed income is eligible. | Yes, they can reside in POSIT Now. | In POSIT Match, there are 10 intra-day crosses and one after-hours cross. Match times (ET) include 9:45am, 10am, 10:15am, 10:30am, 11am, 11:30am, 1 pm, 2pm, 3pm, 3:30pm; after hours – 4:15pm | At this time, there are no plans to link POSIT to other dark pools. | Clients can access POSIT liquidity through an ITG front end (Triton®, Radical™, ITG Channel™) or through a direct FIX connection, including the most popular EMS and OMS products. | Standard negotiated prices with clients. | No | No | Anti-gaming analysis is embedded in the POSIT suite. | We are continually adding enhancements to the system to provide our clients with high quality, buy side to buy side liquidity. 121108-42413 | ||||||||
| Liquidnet Liquidnet H2O Jay Biancamano (646) 674-2138 jbiancamano@liquidnet.com www.liquidnet.com | Liquidnet H2O aggregates fragmented market liquidity through our SLPs, which enables our members to interact with additional liquidity in a controlled and secure environment. | N/A | In the US only, but we plan to launch Liquidnet H2O, our electronic trading desk and Supernatural orders first in Europe and then in Canada, Asia and Australia. | In the US only, but we plan to launch Liquidnet H2O, our electronic trading desk and Supernatural orders first in Europe and then in Canada, Asia and Australia. | 12.8 million (Q3'08) | Leading broker-dealers and marketplaces. | Equity orders. | Liquidnet members can choose to have their orders absorb the liquidity from third-party providers (known as streaming liquidity partners) for as long as they like. | Continuous cross. | Liquidnet H2O accesses liquidity from 25 different streaming liquidity partners: Bank of America / Barclays / BATS ECN / Bloomberg / BNY ConvergEx / Credit Suisse / Direct Edge / EdgeTrade / Fidelity / GSEC (Redi) / Instinet / Interactive Brokers / Jefferies / Lava / JPMorgan / Piper Jaffray / NYSE / RBC Carlin / Sanford Bernstein / UBS / UNX | Liquidnet currently seamlessly integrates with the following OMS/EMS providers: Advent / Bloomberg / Charles River Development / DST / Eze Castle Software / EZX / Fidessa Latent Zero / FlexTrade / Indata / IRESS / Instinet / MacGregor / Portware / Sungard / Thomson | Liquidnet H2O does not charge its Streaming Liquidity Partners (SLPs) for their liquidity. However, Members executing against SLPs are charged a flat commission structure of 2 cents per share. | Yes. However, the algos cannot preference Liquidnet, and the broker-dealer's customer cannot know that the execution occurred in the Liquidnet system. | H2O deals are executed at the mid-point of the NBBO spread. | Our Liquidity Watch group meets weekly and acts as an independent and unbiased panel that monitors Member trading activities, reviews Member complaints and determines appropriate disciplinary actions. | As the equity securities trading markets evolve, our goal is to continue developing innovative new products that leverage our existing liquidity to address the needs of institutional investors. | |||||||
| Liquidnet Liquidnet Dan Wolff (646) 674-2062 dwolff@liquidnet.com www.liquidnet.com | Liquidnet is an electronic marketplace for block trading. Through Liquidnet, buy-side firms access the largest natural pool of institutional liquidity in the industry, allowing them to execute their institutional-sized orders directly and anonymously with significant price improvement and little to no market impact. | N/A | Australia, Korea, Hong Kong, Singapore, Japan, United States, Canada, United Kingdom, Germany, Luxembourg, Austria, Greece, Netherlands, Belgium, Hungary, Norway, Cyprus, Iceland, Portugal, Czech Republic, Ireland, South Africa, Denmark, Italy, Spain, Finland, Latvia, Sweden, France, Switzerland | We are registered to trade the equities of 30 countries. | 84.1 million shares (Q3'08) | Buy-Side Only | Large block equity orders. | Member orders are continuously eligible to be matched with a like-sized contra order throughout the day. If a member does not want an order to access the Liquidnet natural liquidity pool, the trader can take it outside of the Liquidnet system. | Continuous cross. | Liquidnet currently links to Liquidnet H2O. | Liquidnet currently seamlessly integrates with the following OMS/EMS providers: Advent, Bloomberg, Charles River Development, DST, Eze Castle Software, EZX, Fidessa Latent Zero, FlexTrade, Indata, IRESS, Instinet, MacGregor, Portware, Sungard, Thomson | Liquidnet has a flat commission structure of 2 cents per share. | No. Broker-dealer algorithms are only allowed to interact as Streaming Liquidity Partners through Liquidnet H2O. | We offer a negotiation system. The entire transaction is completely anonymous. | Our Liquidity Watch group meets weekly and acts as an independent and unbiased panel that monitors Member trading activities, reviews Member complaints and determines appropriate disciplinary actions. | As the equity securities trading markets evolve, our goal is to continue developing innovative new products that leverage our existing liquidity to address the needs of institutional investors. | |||||||
| Mismi Mismi ATS Peter Kassimis 646-839-6118 pkassimis@mismi.com www.mismi.com | Mismi is a next-generation crossing system that gives traders greater control over trading outcomes, combined with the benefit of enhanced execution rates. Mismi achieves these goals through its unique optimization-based portfolio matching engine.Our portfolio-level controls help traders maintain predicted returns and minimize exposure to market conditions throughout the trade-execution process. Our innovative controls enhance execution rates, by attracting to the pool a far broader spectrum of participants including those who participate with cash as an investible asset as part of a complete portfolio-investment strategy. Mismi is a fully independent and neutral agency broker. | US Equity | starts at 9:50 am | Neovest,Portware,Sonic,Triton | No Rebate available | yes with minimum size and time minimum. | NO | Proprietary | Non Us Equities | ||||||||||||||
| NYFIX NYFIX Euro Millennium™ Melanie Svalander +44 (0) 207 634 5374 melanie.svalander@nyfix.com www.thinkliquidity.com | Euro Millennium is a neutral dark pool of liquidity for pan-European listed cash equities. Launched in March 2008, Euro Millennium is built on the proven technology that powers NYFIX Millennium®. | Euro Millennium enables trading in UK, French, German, Dutch, Portuguese and Belgian stocks. | Listed cash equities from 6 major European markets are available through Euro Millennium (approx. 3,000 stocks). More than 1,000 European stocks have been represented in the pool on record days. These vary from small, mid to large cap stocks | On 2nd December, Euro Millennium set a single day record when 23 million shares were matched. | Euro Millennium is open to all firms that are regulated market professionals seeking liquidity in the equities markets - buy side and sell side. The only firms that are not allowed are those exhibiting gaming behaviour. | Euro Millennium receives proprietary, agency and direct investment management order flow. There is no NYFIX proprietary flow in Euro Millennium. | Orders reside in the Euro Millennium matching pool until fully filled, cancelled or they expire. The maximum period of order validity is the current trading day. | No, we do not operate scheduled matching algorithms. Euro Millennium provides a real time continuous matching algorithm. | Yes, Euro Millennium links to various liquidity pools to provide a powerful tool for aggregating and accessing displayed and non-displayed liquidity. Pass throug orders seek price and/or liquidity improvement in Euro Millennium en route to a specified exchange or execution venue, such as a preferred broker. Euro Millennium also provides direct market access (DMA) support to major European exchanges via NYFIX International. Additionally, traders may opt for direct pass through orders to other brokers connected to the service for further execution. | Euro Millennium is integrated with a number of leading European trade order management (OMS) and execution management (EMS) systems including Charles River, Fidessa, Flextrade, GL Trade, InfoReach, Latent Zero, Linedata, Portware, Realtick, and Ullink. | The pricing model does not differentiate between aggressive and passive orders, because it is not possible for participants to know whether their order will act aggressively or passively when entered into a Dark Pool. Euro Millennium fees are competitively tiered, to incentivise active participation in the venue. | Yes they are. | Euro Millennium is completely dark and does not disseminate IOIs. | NYFIX constantly monitors the order flow in Euro Millennium and reviews the way people are executing it to make sure it remains a fair and neutral place to trade. Additionally, Euro Millennium provides clients with a number of advanced order conditions that allow them to protect their orders. These include minimum execution size requirements, upper/lower price collars for pegged orders, and controls to exempt orders should the primary market spread widen/narrow beyond a specified tolerance. | Euro Millennium will shortly enhance its offering by providing a CCP solution to its clients. We plan to continue expanding the reach of our pool and will continue to launch additional markets in response to our clients’ needs. | ||||||||
| NYFIX, Inc. NYFIX Millennium Brian Carr 646.525.3000 brian.carr@nyfix.com www.nyfix.com | NYFIX Millennium is a leading, independent dark pool that reduces market impact, provides significant price improvement, and is open to all market participants. | NYFIX Millennium operates only in the United States. Euro Millennium is a pan-European dark pool. | Millennium offers trading in U.S. listed equities only. | Average matched volume in NYFIX Millennium in 3Q 2008 was 52 million shares. On September 18, 2008, Millennium set a single-day record when 110 million shares were matched. | NYFIX Millennium is open to all market participants including investment managers, broker-dealers, and hedge funds. The only firms prohibited from the pool are those that exhibit gaming behavior. | All order types are accepted into Millennium with the exception of those that exhibit gaming behavior. There is also no NYFIX proprietary flow in Millennium. | NYFIX offers a resident order type that can rest within Millennium as long as a trader decides. | NYFIX Millennium offers continuous crossing. | Numerous dark pools link into NYFIX Millennium. Millennium does not, however, route out any orders. | Most EMS/DMA platforms connect to NYFIX Millennium, including (but not limited to) Portware, FlexTrade, Lava, Royal Blue, Eze Castle, Charles River Development, Advent Moxy, Macgregor XIP, RealTick. Numerous other FIX-based order routing and order management systems also connect to Millennium. | Pricing information is not disclosed. | Yes. | Millennium does not offer IOIs or negotiation capabilities. NYFIX offers clients an opt-in order type called Millennium Plus. Millennium Plus will send a liquidity alert - different than an IOI - to a group of passive liquidity providers’ standing order books, where all alerts are responded to systematically. | NYFIX constantly monitors the order flow in NYFIX Millennium and reviews the ways firms are accessing it to make sure it remains a fair and neutral place to trade. To ensure clients receive maximum protection, NYFIX offers anti-gaming logic to help protect client orders. This feature proactively reviews all orders and detects adverse price movements. | NYFIX is upgrading the underlying technology that supports its products and services. This new technology makes Millennium a faster, more resilient, and higher throughput alternative trading system that is well suited for latency sensitive order flow. | ||||||||
| River Cross Securities, LLLP RiverCross Customer Service 610-747-2526 customerservice@rxats.com www.rxats.com | The River Cross™ ATS operates as a totally dark agency only high capacity continuous crossing engine while providing a well balanced liquidity source for U.S. registered broker-dealers and their clients. | RiverCross Securities LLLP is an affilate of Susquehanna International Group, LLP. | No | None | N/A | RiverCross is open to a wide array of broker-dealers, order flow aggregators and Dark Pool Algo providers. | Limit, pegged and market. Day, IOC and timed IOC. | Resting orders accepted with either default or user specified timing instructions. | Continuos crossing engine. Current market hours are 9:30 am to 4:00 pm. | Connected to various liquidity providers. | RiverCross's technolgy implementation allows it to establish connectivity to any OMS/EMS provider or directly through its FIX gateways. | N/A | Yes | N/A | Implemented, company confidential. | N/A | |||||||
| Turquoise Duncan Higgins +00 44 207 382 7650 info@tradeturquoise.com www.tradeturquoise.com | The Turquoise MTF’s (Multilateral trading facility) integrated market segment, combines dark and visible orders to increase the likelihood of execution and price improvement for small orders whilst allowing the trading of large, institutional-size orders, efficiently and with the minimisation of information leakage and market impact. The integrated segment trades in 300+ of the most liquid securities in Europe. In addition, the Turquoise MTF (Multilateral trading facility) has a dark-only segment, which trades 1100+ midcap securities. | Independent with Broker-dealer shareholders. | Currently operating in 14 European markets: Austria Belgium Denmark Finland France Germany Italy Ireland Netherlands Norway Portugal Sweden Switzerland United Kingdom Q1 2009 (Spain) | The integrated segment trades in 300+ of the most liquid securities in Europe. The Dark-only segment trades 1100+ midcap securities in Europe. | Increasing trend since launch in September 2008 | The integrated and dark segment is open to qualified institutions. The Turquoise MTF users include the largest banks and brokers active in European trading, as well as specialist trading firms and institutions with local, regional and sector focus. In general, the Buy-side access Turquoise directly and indirectly through Member Brokers using DMA, algorithms and smart order routing. | Dark orders can be entered in both the Integrated and dark only segments. For an order to be accepted as Dark it must be Large in Scale as defined by MIFID (E.g. 500,000 Euros for large cap securities) Dark orders can be market, limit or pegged. A Minimum Acceptable Quantity (MAQ) can be added to the dark order. An order with a MAQ will only be matched subject to, at minimum, fulfilling its MAQ. | Traders have complete control over the period of time an order rests in the dark pool. | Continuous matching from 8am to 4.30pm | Not currently | Fidessa, GL, Neonet XG, Orc, RTS, Visual trader | 0.5 bps for addition and removal | Yes | Not currently | Traders can employ Minimum Acceptable Quantity on their orders to control execution and limit information loss to the market. In addition, Turquoise has a surveillance team monitoring the market to detect market irregularities and take appropriate actions including sanctions on members. | ||||||||
| International dark pools (Canada, Europe, Asia) | |||||||||||||||||||||||
| Company | Description of Dark Pool | Ownership details | If dark pool operates outside of U S - in which countries and/or markets does it operate? | How many stocks are covered internationally? | Daily volume traded in Dark Pool | User profile | Types of orders traded | Can orders rest in the dark pool for certain amounts of time? | If crossing, how many crosses daily and at what times? | Does this Dark Pool link to other Dark Pools? | Which EMSs include your Dark Pool as a destination? | What is the pricing or rebate structure to remove vs send liquidity? | Are broker-dealer algorithms permitted in the dark pool? | Does dark pool offer IOIs or Negotiation capabilities? | What anti-gaming technology does the dark pool deploy? | Plans for future enhancements? | |||||||
| BlocSec PTE LTD BlocSec Ned Phillips +65 6586 5755 ned.phillips@blocsec.com www.blocsec.com | BlocSec is an electronic crossing network created to provide institutional investors with optimised execution for their Asian block trades, minimising both transaction costs and market impact. As a dark pool of liquidity, BlocSec gives traders the ability to place orders with complete anonymity, allowing zero information leakage into the market. | BlocSec is currently live in Singapore, Japan, and Hong Kong. We will launch Korea and Australia in early 2009. | Currently all Japanese, Singaporean, and Hong Kong equities. | We have liquidity with a notional value of between US$100 to US$500mio every day. | Traditional asset managers, hedge funds, and brokers located in Asia, Europe, and the US. | 7 Crossing conditions: Passsive, Mid, Aggressive, 1st Session Vwap, 2nd Session Vwap, Full Day Vwap, and Last Close. | Clients can enter orders from 6am and they can rest in the pool until the end of the session in which their crossable. | Certain crossing conditions will only cross at specific times. The VWAP options, for example, will only cross before the start of that session. Last Close crosses from the close up until 6pm local time. The price options (passive, mid, aggressive - will cross during live market hours). | We're in the process of connecting up to other broker's Asian internal crossing engines. | We're connnected to the typical list of EMS/OMS providers - Bloomberg, Tora, TradingScreen, Charles River, MacGregor, Fidessa, etc. | We have client specific pricing. | In theory yes, but our minimum order size of US$1mio or > 20% of the 30 day ADV precludes many of the broker algo products available in Asia. | We're non-negotiated, but we do send liquidity emails and IOIs. However, we only display that there is liquidity in that name. We do not display side, size, or price (crossing condition). | In addition to all orders being firm, we have found that our minimum order size of US$1mio or > 20% of the 30 day ADV has prevented anyone from gaming the system. Clients have been extremely happy with this feature. | We're also tweaking the system - the % of ADV levels was rolled out today (Dec 10) in fact. | ||||||||
| INSTINET • Instinet KoreaCross™ Contact: Christian Chan Phone: 852-2585-0585 Email: koreacross@instinet.com • Web: www.instinet.com | • KoreaCross is a neutral block-trading platform for the anonymous, zero-market impact trading of Korean equities. The “blackbox” dark pool, which is operated in conjunction with Samsung Securities, provides a pre-market VWAP match and is one of the Korean market’s only crossing networks. | • Korea | • All Korean cash securities listed on the Korea Exchange are eligible for crossing. | • Not disclosed. | • KoreaCross is available to both the buy and sell side | • KoreaCross supports minimum fill orders, as well as cash and sector constraints on portfolios. The platform will also aggregate order flow to allow clients to more easily meet the Korean market’s 100 million KRW (Korean Won) minimum order size requirement. | • N/A | • VWAP Cross - 8:40 a.m. KST: Priced after market close and allows users to lock execution quantity and receive that day's Korea Stock Exchange VWAP. | • No. Traders can reach several other dark pools and ATS platforms through Instinet’s Asian SmartRouter, but KoreaCross does not route out orders. | • Instinet’s Newport 3 and Trading Portal include KoreaCross as a destination, as do many third-party trading systems including Bloomberg EMS, Tora Trading, Trading Screen and Fidessa. | • KoreaCross’ pricing is based on a revenue share basis, and does not employ a rebate pricing model. | • Yes, though Instinet carefully vets its partners. | • No. | • Match prices are snapped randomly during the match window. | • Instinet will continue working closely with our clients to introduce system enhancements based on client demand. | ||||||||
| INSTINET • Instinet BlockMatch Contact: Instinet UK sales team Phone: +44 20 7154 8844 Email: uksalesteam@instinet.co.uk • Web: www.instinet.com | • BlockMatch is Instinet Europe’s block crossing platform and dark pool. BlockMatch is a pan-European Multilateral Trading Facility. Its use as a block-crossing venue is aimed at block trading clients. | • Austria, Belgium, Denmark, Finland, France, Germany, Holland, Italy, Norway, Portugal, Sweden, Switzerland (large cap), UK | • Approximately 8,000 equities in the above markets. | • Not disclosed. | • Instinet BlockMatch is available to both the buy and sell side, though users must be approved clients of Instinet Europe Limited. | • BlockMatch orders can be pegged at the bid, mid or ask. | • Yes, BlockMatch supports immediate or cancel, good ‘til time or good for day orders. | • BlockMatch is a continuous crossing platform. Periodic crosses are not available at present however both a pre-market VWAP cross and a closing cross will be launched in 2009. | • BlockMatch is not currently linked directly with other dark pools, however Instinet’s clients can use algorithms that have access to multiple dark pools. | • Instinet’s Newport 3 and Trading Portal include BlockMatch as a destination, as do many third-party trading systems. | • Instinet BlockMatch pricing is not publicly disclosed. | • Yes, though Instinet carefully vets its partners. | • Clients have the choice of remaining completely dark or visible, based on their discretion, through an intelligent IOI mechanism. | • BlockMatch supports the use of minimum execution quantity orders. | • Instinet plans to launch a pre-market VWAP cross and closing cross on BlockMatch in Q1 2009. | ||||||||
| INSTINET • Instinet JapanCrossing™ Contact: Christian Chan Phone: 81-3-6366-8478 Email: japancrossing@instinet.com • Web: www.instinet.com | • JapanCrossing is a neutral block-trading platform for the anonymous, zero-market impact trading of Japanese equities. The “blackbox” dark pool, operated under Instinet’s Japanese PTS license, provides a pre-market VWAP and morning and afternoon session close crosses. | • Japan | • All Japanese cash equities -- TSE, OSE, Hercules and Jasdaq. | • Not disclosed. | • JapanCrossing is available to both the buy and sell side. | • JapanCrossing supports limit and minimum fill orders, as well as cash and sector constraints on portfolios. | • JapanCrossing consists of pre-market VWAP, morning session close and afternoon session close matches. For the morning session match, clients can allow orders to roll over to P.M. session match later in the day. | • VWAP Cross - 8:30 a.m. JST: Priced after market close and allows users to lock execution quantity and receive that day's Tokyo Stock Exchange VWAP. • Morning Session Close Cross – 12:10 p.m. JST: Priced at the stock’s Tokyo Stock Exchange’s morning session closing price. • Afternoon Session Close Cross - 3:30 p.m. JST: Priced at the stock’s Tokyo Stock Exchange’s afternoon session closing price. | • No. Traders can reach several other dark pools and ATS platforms through Instinet’s Asian SmartRouter, but JapanCrossing does not route out orders. | • Instinet’s Newport 3 and Trading Portal include JapanCrossing as a destination, as do many third-party trading systems including Bloomberg EMS, Tora Trading, Trading Screen and Fidessa. | • JapanCrossing’s pricing is based on a revenue share basis, and does not employ a rebate pricing model. | • Yes, though Instinet carefully vets its partners. | • No. | • Match prices are snapped randomly during the match window. | • Instinet will continue working closely with our clients to introduce system enhancements based on client demand. Two new crosses will be raised, a morning and afternoon session midpoint cross in Q1 2009. | ||||||||
| Investment Technology Group TriAct Canada Marketplace LP – MATCH Now SM Joanne Hill 416.861.1010 x261 info@triactcanada.com www.triactcanada.com | MATCH Now SM is a broker-neutral dark book. Orders interact in two ways. Passive orders reside in the dark book and match at 30-second intervals. Smart order routers direct streaming liquidity to MATCH Now for immediate execution. MATCH Now offers price improvement to every participant on every transaction. | Canada | All TSX stocks (excluding stocks traded in US currency and special settlements) and TSX Venture Exchange stocks | The average daily volume for 3Q 2008 was 2,023,544 shares. | Canadian Registered Broker Dealers and their clients via DMA | no minimum order size, limit/mkt orders | MATCH Now supports resting day orders only. | Mid-point match between resting orders at 30 second intervals throughout the trading day (9:30am – 4:00pm). Resting orders also trade continuously with smart-routed streaming liquidity inside the Canadian NBBO. | No | Triton®, Fidessa, IRESS, Belzberg, ITS, Credit Suisse AES | Single pricing structure for all trades: $.001 per share (stocks $5 and up); $.0005 per share for stocks $4.99 and under. | Yes | No | ||||||||||
