Innovation That Stood the Test of Time: 10 Years of Price Improvements with SwissAtMid

Adam Matuszewski, Head Cash Market Products, Exchanges (AM): Our goal was simple: create value for clients. There was a growing demand for non-displayed trading in Swiss shares, and we wanted to develop a service tailored to the needs of our participants.

Rob Cranston, Head Equity Business Development Sales Strategy, Exchanges (RC): Various options for dark and block trading already existed, and we had previously tried different things with Swiss Block and SLS, the SIX Swiss Exchange Liquidnet Service. But SwissAtMid really was a game-changer. 

AM: Its innovative setup: ten years ago, SIX Swiss Exchange was the first venue in Europe to introduce a non-displayed pool on the exact same matching engine as its central limit order book.

RC: Not only are trades executed at the mid-point price – obviously without pre-trade information leakage –, but our setup prevents price slippage during the execution process and ensures that trading participants never trade at a stale primary mid-point price. 

AM: The aforementioned setup has allowed us to keep innovating and offer our clients additional benefits. For instance, we complemented our “Sweep” orders with “Plus” orders as well as indicative block orders which added flexibility and efficiency, enabling our clients to deal with the challenges they are facing in todays fragmented equity trading landscape.

RC: We also launched SpainAtMid, emulating our successful setup on the BME Exchange – a great example of how participants across Europe benefitted from the growing footprint of SIX. And seeing other exchanges get inspired by our solution is rather flattering too… 

AM: First and foremost: the cumulated price improvements our clients were able to realize thanks to SwissAtMid. It had been CHF 100 million after 5 years – and over 200 million after ten years. Since launch until end of September, total turnover amounts to CHF 550 billion with 31 million trades.

RC: Today, SwissAtMid is the leading dark pool for Swiss equities, with an average daily turnover of around CHF 250 million and a market share of 39%, 2.5 the size of its nearest competitor. It is also the largest single venue non-displayed pool in Europe in terms of daily market share. Today, 70 participants actively use SwissAtMid, who generate around 95% of the total Swiss equity turnover in our Central Limit Order Book.

AM: Dark trading mechanisms have become an integral part of the European liquidity landscape. Overall, dark trading – i.e. trading without pre-trade transparency – accounts for about 12% of the order book volume in European equities. 

RC: It’s safe to say that client needs like trading blocks without price impact and prioritizing price improvements over speed of execution will persist. So we’ll continue to provide them with corresponding solutions – and I’m confident SpainAtMid still has a lot of growth potential.

AM: The key part of all dark execution is adding value to trading firms. Our members, as well as the Buy Side institutions behind them continue to see these capabilities as a critical part of their execution capabilities, and as a pan-European exchange group we need to continue to work closely with them to evolve the solutions to support them.

AM: Just as we did prior to the launch of SwissAtMid, we maintain a close dialogue with our clients – especially since we have embarked on the journey to harmonize our trading platforms across SIX Swiss Exchange, BME and Aquis. This is a unique opportunity to make another innovation leap and provide new solutions geared towards client needs.