Dark Pools. The Structure and Future of Off-Exchange Trading and Liquidity ERIK BANKS

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1 Dark Pools

2 Palgrave Macmillan Finance and Capital Markets Series For information about other titles in this series please visit the website and capital markets.asp Also by Erik Banks: THE PALGRAVE MACMILLAN DICTIONARY OF FINANCE, INVESTMENT AND BANKING RISK AND FINANCIAL CATASTROPHE THE CREDIT RISK OF COMPLEX DERIVATIVES, THIRD EDITION LIQUIDITY RISK CORPORATE GOVERNANCE THE FAILURE OF WALL STREET WORKING THE STREET WEATHER RISK MANAGEMENT ASIA PACIFIC DERIVATIVES MARKETS EMERGING ASIAN FIXED INCOME MARKETS THE CREDIT RISK OF FINANCIAL INSTRUMENTS

3 Dark Pools The Structure and Future of Off-Exchange Trading and Liquidity ERIK BANKS

4 Erik Banks 2010 Softcover reprint of the hardcover 1st edition All rights reserved. No reproduction, copy or transmission of this publication may be made without written permission. No portion of this publication may be reproduced, copied or transmitted save with written permission or in accordance with the provisions of the Copyright, Designs and Patents Act 1988, or under the terms of any licence permitting limited copying issued by the Copyright Licensing Agency, Saffron House, 6-10 Kirby Street, London EC1N 8TS. Any person who does any unauthorized act in relation to this publication may be liable to criminal prosecution and civil claims for damages. The author has asserted his right to be identified as the author of this work in accordance with the Copyright, Designs and Patents Act First published 2010 by PALGRAVE MACMILLAN Palgrave Macmillan in the UK is an imprint of Macmillan Publishers Limited, registered in England, company number , of Houndmills, Basingstoke, Hampshire RG21 6XS. Palgrave Macmillan in the US is a division of St Martin s Press LLC, 175 Fifth Avenue, New York, NY Palgrave Macmillan is the global academic imprint of the above companies and has companies and representatives throughout the world. Palgrave and Macmillan are registered trademarks in the United States, the United Kingdom, Europe and other countries. ISBN DOI / ISBN (ebook) This book is printed on paper suitable for recycling and made from fully managed and sustained forest sources. Logging, pulping and manufacturing processes are expected to conform to the environmental regulations of the country of origin. A catalogue record for this book is available from the British Library. A catalog record for this book is available from the Library of Congress

5 Contents List of Illustrations Acknowledgments About the Author vii ix x PART I MARKET STRUCTURE 1 Introduction to Dark Pools 3 2 Market Liquidity and Structure 30 3 Dark Pool Structure 57 PART II MICRO ISSUES 4 Topics in Pricing and Execution 93 5 Trading in Dark Pools Aspects of Technology and Architecture 136 PART III ENVIRONMENT OF THE FUTURE 7 Regulation, Control, and Transparency The Future of Dark Pools 183 v

6 vi CONTENTS Appendix 1 Listing of Dark Pool Sites 199 Appendix 2 Listing of MiFID Regulated Markets, Systematic Internalizers, and Multilateral Trading Facilities 201 Notes 206 Selected Bibliography 213 Glossary 215 Index 225

7 Illustrations FIGURES 1.1 Orders coming into various price points Sources of dark liquidity Limit bids and offers Reserve order execution in Stock XYZ Hidden order execution in Stock XYZ Order types Market structures Liquidity spectrum Types of alternative trading systems/multilateral trading facilities Key types of crossing networks Broker/dealer desk model Examples of dark pool venues and mechanisms (a) Limit order book: Stock XYZ (b) Limit order book: Stock ABC Supply, demand, and market clearing price Crossing at best bid offer Order entry into a crossing network Implementation shortfall routine Trade lifecycle Routing process The matching flow Fidessa dark/light trade activity screens 176 vii

8 viii ILLUSTRATIONS TABLES 1.1 Sample U.S. exchange matched market share performance, August Sample U.S. off-exchange matched market share performance, August Sample European exchange matched market share performance, August Sample European off-exchange matched market share performance, August Major classes of orders and primary motivations Stock EFG order book example Stock EFG order book example Stock EFG order book example 1, without illustrating the dark trade Major global exchanges with hidden/reserve orders Stock ABC order book, pre-call Stock ABC order matching Stock ABC order book, post-call Stock ABC, continuous-order market Top 10 fragmented stocks on the FTSE 100, August Share blocks on various dark pools Order fill against various dark pools (a) FOK buy limit order at $50.00, 1000 shares (b) Dark sell peg order at the midpoint of the NBBO, 2000 shares and minimum quantity 1000 shares, valid market open tomorrow (T + 1) 159

9 Acknowledgments I would like to extend my thanks and appreciation to Lisa von Fircks at Palgrave Macmillan for her support in yet another project. Credit is also due to Renée Takken and the editing, production, and marketing teams at Palgrave Macmillan for their work in producing the book. Valuable input was provided by Steve Grob at Fidessa and several referees at Goldman Sachs, JP Morgan, and NYSE Euronext, and I am grateful to all of them for helping improve aspects of the book. And, as always, my biggest thanks to Milena. EB ix

10 About the Author Erik Banks is responsible for risk management of the Corporate and Investment Banking division at the European universal bank, UniCredit. Over the past 23 years he has held senior risk positions at Citibank, Merrill Lynch and in the hedge fund sector, in New York, Tokyo, Hong Kong, London, and Munich. He is the author of more than 20 books on risk, derivatives, emerging markets, and governance. x

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