SIX Swiss Exchange maintains two order books in the same On Book Matcher (OBM) for SwissAtMid eligible securities:
Central Limit Order Book (CLOB) with pre-trade transparency and price-time priority
Mid-Point Order Book (MPOB) without pre-trade transparency and size-time priority
The MPOB and CLOB order books are collocated in the same low latency On Book Matcher. This simplifies
synchronisation between the two order books and ensures that no simultaneous processing can happen in
CLOB and MPOB with minimal impact on complexity and latency.
The orders entered in the SwissAtMid order books are binding.
SwissAtMid supports Normal Orders and offers the feature to sweep orders from the MPOB to the CLOB of
the respective security as well as Minimum Execution Quantity (MEQ).
Allows users to look for midpoint liquidity while routing to the lit order book
Sweep orders will never rest in the non-displayed order book
Sweep orders trade in one single match cycle within the matching platform. The way they interact is
Look for liquidity in the non-displayed order book. If the Sweep order is eligible to match based
on limit price, attempt to match with any available liquidity
If any of the Sweep order is not executed, attempt to match the order in the lit order book
If any of the Sweep order is not executed, rest the remaining order in the lit order book
Due to this implementation, there is no added latency for members using the Sweep order for
all orders entered into the market
Single Transaction Fee for both midpoint and lit execution
Direct order to SIX Swiss Exchange At Midpoint
Full support for all order time validity - OTI supports day, IOC and FOK orders, STI also
supports multi-day Good till Date (GTD) orders
Minimum Quantity is available to allow members to ensure minimum sizes for fills
All executions are guaranteed to be the true mid-point of the lit order book of SIX Swiss Exchange
Plus orders - Limit Plus and Iceberg Plus
Allow users to place an order in the CLOB and dual represent the full quantity of that order in SwissAtMid,
the Mid-Point Order Book (MPOB)
Orders in the MPOB can be placed at the mid-point or better (depending on order limit price) whilst orders
in the CLOB are pegged to the passive side of the book
Limit Plus arrives in the CLOB as a normal order that is pegged to the passive side of the book and dynamically
follows the best price as long as the overall order limit allows for it. At the same time, the full quantity of
the Limit Plus order is sitting in the MPOB and can be executed in the non-displayed environment.
Iceberg Plus is a variation of Limit Plus, where an Iceberg order is pegged to the passive side in the CLOB
and the full quantity of that Iceberg is available in the MPOB.
For both orders we guarantee no risk of an overfill by continuously managing the order quantities in the CLOB
and the MPOB. A partial execution in the MPOB results in order quantity update in the CLOB and vice versa
An optional Minimum Quantity is available in the MPOB