ContactContactFrançais
  • Home
  • News
  • Market Data
  • Participants
  • Émetteurs
  • Investisseurs
  • Education
  • Profil

Cookie

Notre site utilise des cookies. Cela nous permet d'optimiser votre expérience utilisateur. En poursuivant votre navigation sur ce site, vous acceptez l'utilisation de cookies. Vous trouverez de plus amples informations dans notre déclaration de confidentialité.

 
 
 

SwissAtMid Orders

SIX 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).

Sweep order

  • 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 as follows:
    • 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 SwissAtMid

  • 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

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

Overview of the various order attributes

Order Attributes Normal Order in MPOB Normal Order with Sweep
from MPOB to CLOB
Plus orders - Limit Plus and Iceberg Plus
Routing Instruction on Order SWM for MPOB (SwissAtMid) SWMX for mid-point order book (MPOB) and subsequent forwarding to Central Limit Order Book (CLOB) SWMB for Plus orders to dual represent in MPOB and CLOB
Side Buy or Sell Buy or Sell Buy or Sell
Price Type
The same Price Type is used for both books
Market or Limit Market or Limit Limit (Note that Market orders with Routing Instruction «SWMB» are not supported)
Price
The same Price is used for both books
Price defined per unit of quantity
Price must be on a valid price step for the respective security.
Price Steps for MPOB are equal to CLOB
Price defined per unit of quantity
Price must be on a valid price step for the respective security.
Price Steps for MPOB are equal to CLOB
  • CLOB
    Dynamic adjustment of the order price to the best bid or ask in the CLOB (Pegging) whilst observing the Global Limit
  • CLOB
    Global Limit
Validity *
The same Validity is used for both books
  • Good for Day
  • Immediate or Cancel
  • Fill or Kill
  • Good Till Date
    only supported via STI
  • Good for Day
  • Immediate or Cancel
  • Fill or Kill
    Can be executed in either or both books. If the aggregated liquidity in both books is not sufficient to fill the order completely, the order is expired.
  • Good Till Date
    only supported via STI
  • Good for Day
    Note that other order validities are not supported for Routing Instruction «SWMB». Iceberg Plus orders with unsupported validities are rejected.
Minimum Execution Quantity Optional attribute which can be defined by the participant on each single order entry via STI and OTI.

MEQ must be met on each trade of an order. A single order on the other side of the order book must be equal or greater than the MEQ for an execution to occur.

MEQ applies to both, passive and aggressive orders.

When the remaining quantity of an order falls below the MEQ, then the MEQ corresponds to the remaining order quantity.
Optional attribute which can be defined by the participant on each single order entry via STI and OTI.

MEQ must be met on each trade of an order. A single order on the other side of the order book must be equal or greater than the MEQ for an execution to occur.

When the remaining quantity of an order falls below the MEQ, then the MEQ corresponds to the remaining order quantity.

MEQ is only applicable for the MPOB part of executions of sweep orders.
MEQ applies only to the executions in the MPOB.

On OTI, for Iceberg Plus, the MEQ is fixed to the displayed quantity of the Iceberg order. On OTI, for Limit Plus, the MEQ is not supported.

On STI, for Iceberg Plus the MEQ is defaulted to the displayed quantity of the Iceberg order and can be modified on each order entry. On STI, for Limit Plus MEQ is available.