Stale Prices and the Price of Being Stale

Stale Prices and the Price of Being Stale

Dark trading mechanisms have become an integral part of the European liquidity landscape. In this context, the Primary Best Bid Offer midpoint is a core benchmark. In the latest Trading InfoSnack, the equity experts at SIX Swiss Exchange are evaluating what proportion of trading activity actually occurs at this price and the impact of trading at a ‘stale price’.

Overall, dark trading (i.e. trading without pre-trade transparency) accounts for about 10% of the order book volume in European equities. Whilst this volume is fragmented across several dark venues and dark market mechanisms, much of it intends to trade at the Primary Best Bid Offer (PBBO). It refers to the midpoint between the current best bid price and the current best offer price, displayed on the orderbook of the venue of primary listing for any given security. The PBBO midpoint provides a robust indication of the actual current price at which securities are trading. As such, an analysis of the proportion of trades occuring away from this price across dark trading venues yields some interesting insights, which are presented in our latest Trading InfoSnack.

Firstly, the proportion of trades executed away from the PBBO midpoint is significantly more pronounced on certain types of multilateral trading facilities (MTFs), i.e. continuous midpoint books as opposed to conditional order-enabled venues. Secondly, the distribution of ‘stale’ trading activity correlates well with the observed geographical latencies for different types of connectivity between the location of the primary central limit order book and the location of MTFs. Thirdly, trades occurring at ‘stale’ prices appear to suffer from a significantly worse reversion profile than trades occuring at ‘non-stale’ prices.


Venues offering conditional order functionality typically show a much smaller proportion of trades executing away from the PBBO midpoint.

Adam Matuszewski, Head Equity Products and Analytics

With its next maintenance release of its SWXess trading platform, (SWXess Maintenance Release 10 (SMR10)), the Swiss stock exchange will introduce conditional order functionality via the “SwissAtMid Block Solution”. This will be available for Blue Chip Shares and Mid-/Small-Cap Shares as an extension to our existing dark offering “SwissAtMid”. The SwissAtMid Block solution will make the Swiss stock exchange the most complete venue for trading Swiss equities.

Insights on Relevant Trading and Market Structure Topics

The Trading InfoSnack articles are insightful research features that provide commentary on market relevant trends, models and microstructure that influence the trading of Swiss securities, underpinned by in-depth analysis from the Equities team of the Swiss stock exchange.

To trading and market structure professionals with a focus on the EMEA region the previous Trading InfoSnacks are also of interest: This Time is DifferentCryptophoriaLast Orders, Size MattersLiquidity under the Volatility MicroscopeClosing Auctions: What’s Hanging in the Balance?Back to the Future(s) and What’s in a Liquidity Smile?

Stock Exchange of the Year 2021

SIX Swiss Exchange has been named Exchange Group of the Year at the Financial News Trading & Tech awards 2021. As a leading listing and trading destination, the Swiss stock exchange has enjoyed enormous success over the past 18 months. Record-high volumes were managed without any problems, highlighting the outstanding reliability and dependability of its infrastructure while continuing to provide attractive financing opportunities for companies and enabling growth in its investment product segments. 

Owned by SIX, the infrastructure operator for the financial centers in Switzerland and Spain, the Swiss stock exchange is the largest and most liquid trading venue for Swiss securities, including Nestlé, Novartis and Roche that rank among the top five companies in Europe.