JSE’s Dark Functionality Suite, is a series of products in a complex suite, which enables your trading strategies by providing a safe haven to execute large in size orders in a non-visible yet regulated environment. Using these Equity Market enhancements will give you a competitive edge and improve efficiency of filling your large orders and while minimising impact.
Central Order Book Cross Trade enhancement (XT)
This is an Internal/Single Sided cross where the pre-negotiated trade is entered within a single member firm on the central order book. A trade resulting from the submission of a Cross Order by market participants results only in a Cross Trade (XT) and has no impact to orders. Trades resulting from Cross Orders will only be matched within the visible Best Bid and Offer (BBO). The enhancement introduced with this release will provide an option to execute the cross order at midpoint should the price not meet the criteria of being within BBO at the time of order entry. This secondary execution method is optional and will automatically match at midpoint if elected.
Block Trades (BT) - targeted for release in Q4 2019
With this enhancement, BTs are now simpler, smaller and have a more easily determinable minimum BT trade size compatible with - but certainly not larger than - the minimum BT trade size requirements being adopted by recognised overseas exchanges for comparable stocks. Through a rolling average daily volume assigned to “tiers” corresponding to range of trade value, we eliminate the need to calculate the BT trade size. In addition, Off Order Book Principal Trades (“OP”) have the same size criteria as BT trades we have adopted the approach that all trades that meet the prescribed minimum size criteria shall be booked as BT trades (i.e. where a member trades as agent on behalf of or as principal with a client or with another member). The OP trade type will be retained, but only for circumstances where the transaction is with a foreign professional market participant and where no minimum value will apply.
Based on global standards, the Iceberg functionality will enable you to submit orders and only display a small portion of the total order. This will allow you to have your order residing on the central order book without disclosing your full order size.
· As opposed to third party Iceberg Orders, the functionality traded directly on the JSE will
hit the billing cap more frequently thereby proving to be more cost effective on large
· Reduces the risk of missing opportunities due to remote order replenishment. The entire
Iceberg Order can be executed at once.
Pegged Hidden Orders
Pegged Hidden Orders are non-visible orders that allow for improved execution of large orders at prices that are relative to the best executable spread of the instrument. This means that you can execute large orders hidden and link them to either the best bid, offer or mid-price of the order book.
End Of Day (EOD) Volume Auction
The EOD Volume Auction introduces a non-visible uncrossing of large orders at the closing price. This means that you can execute more of your order quantity completely dark at the end of day at a known price (closing price).