Aquis is expanding its conditional order services as demand for trading mechanism choice grows.
Conditional orders, also called indications of interest (IOIs), allow traders to send a dark order to multiple venues at once. If a match is found, participants will get an invitation to firm up their order within a window of time. Once confirmed, orders on other venues are cancelled to prevent duplication.
Aquis VWAP Match (AVM) allows users to submit IOIs to cross orders at a five-minute volume-weighted average price (VWAP), which is calculated from lit continuous reference market trades.
Aquis already offers a dark pool, which it acquired from UBS in 2022, and a dark-to-lit sweep functionality that allows clients to bring orders crossed in the dark to lit exchanges. The exchange was recently acquired by SIX Group.
READ MORE: SIX to acquire Aquis
AVM operates on a separate order book to the main Aquis dark pool. “If a contra order comes in that could match with it, we send both of those counter parties a firm up invite and they get a one second window in which they can accept that invite. Once they both accept it, that triggers a 5 minute window of time during which we calculate the VWAP,” Sakeena Lalljee, head of sales at Aquis Exchange, told Global Trading.
“This [type of tool] is already used in the US, and it’s something that some trading firms already do internally,” Lalljee shared. “There’s a space in the market, particularly in Europe.”
Cboe provides a similar 5-minute VWAP model in its trajectory crossing solution Cboe BIDS VWAP-X, which launched in the UK earlier this year. The release was swiftly followed by Nasdaq’s announcement that it was bringing its own service, PureStream, to the European market after success in North America.
READ MORE: Nasdaq to rival Cboe as trajectory crossing takes off in Europe
“The solutions that are coming to the market indicate the strong demand that exists,” Jerry Avenell, co-head of sales at Cboe Europe told Global Trading. “Being a first mover was important to us, giving participants time to adapt to our model, but we have many points of differentiation beyond that.”
As an extension of Cboe BIDS Europe, client benefits include familiarity with the platform, connectivity and reduced costs, Avenell said.
“A successful launch in European securities also opens the door for BIDS to launch VWAP crossing in Cboe’s other jurisdictions– potentially including the US, Canada, Australia and Japan. Given that many of our participants are global in nature, providing consistent services worldwide is a key differentiator for us and will help with the long-term adoption of the product.”
Laljee stated that the differentiator for AVM is the ability for users to trade at a smoother price than other conditional services. “Rather than trading several times separately over a period of time, they can smooth out volatility and price movements by waiting 5 minutes and trading at a volume-weighted average price calculated over that duration,” explained Lalljee.
Additionally, “unique to AVM, client-facilitating members will have flexibility to specify if they are open to trade with any type of contra flow, thereby maximising their likelihood of execution, or if they only want to match with other client-facilitating orders,” she continued.
AVM is expected to go live in Q1 2025.
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While Goldman Sachs
The bank’s one-day VaR averaged $158 million during the quarter, more than double the $69 million reported by JP Morgan and the $70 million at Bank of America. The Fed also requires banks to report ‘stress VaR’ which measures the riskiness of their current portfolios when subjected to the market conditions at the height of the 2008 financial crisis. By this measure, Goldman’s third quarter stress VaR was $336 million, with JP Morgan in second place with $130 million, despite Goldman having a smaller trading portfolio.
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