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Periodic Auctions 

What is a periodic auction?

Auctions that are run throughout the day that typically last fractions of a second. The liquidity is defined as "displayed" due to each operator publishing a real time uncrossing price and volume indication.​

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Why would I access a periodic auction?

Periodic auctions have the smallest reversion amongst the venue types due to their random uncrossing periods, they are also used by brokers to cross internal flows and contain a vast amount of "resting" passive flow. This paired with the majority of fills taking place at midpoint makes them a valid liquidity source for strategies trying to capture the spread without being adversely selected. 

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  • On venue market share 4%

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  • Also known as Frequent Batch Auctions (FBA)

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  • Introduced post MIFID II for clip sizes < LIS in instruments with DVCs in place

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  • Run throughout the day, typically last 100ms

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  • Have random uncross periods to prevent gaming

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  • Indication of size and price is published in real time

Key Points

FBA.PNG

Periodic Auctions

The Venues

Intricacies 

Page Summary

How They Work

Duration

The Venues

Periodic Auctions

The Venues

TRQA/TQEA
Sigma Auctions
SGMV/SGMY
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BATS Periodic Auction
BATP/BEUP
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Posit Auctions
XPAL/XPAC
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Virtu
Financial
Turquoise Plato Lit Auctions™
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Aquis Auctions
AQEA/AQXA
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 Nasdaq Auctions On Demand

MCSE/MHEL/MSTO 

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Auction durations vary with each venue, and are outlined in the table below​

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How They Work
Anchor 1

Periodic Auctions

The Mechanisms

There are several different auction mechanisms across all of the venues in Europe

Each venue has a displayed call phase before an execution takes place, the differences between the venues are:

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  • How the call phase is initiated 

  • Duration of the call phase

  • Order entry during the call phase

  • How the execution price is determined

  • Randomisation of the uncross

CBOE - BATP/BEUP 

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  • Initiated - by the first order 

  • Duration - ends randomly from the first order entered up to 100ms, making it difficult to game

  • Order entry during call phase - amends and cancels allowed

  • Match - Price chosen designed to maximise auction volume is always within the EBBO

  • Priority - Broker > Price > Size > Time

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Sigma Auctions - SGMY/SGMV 

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  • Initiated - When two contra orders make a match and the PBBO remains constant (known as price stablisation check)

  • Duration - 100ms call phase, random uncross between 100-125ms

  • Order entry during call phase - amends for upsizes only, no cancels

  • Match - Price is fixed at the midpoint of when the orders initially matched

  • Priority - Broker > Price > Size > Time

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A buy order is entered onto the venue

This initiates the call phase in CBOEs venue

A sell order enters the venue creating a match

The match of buy and and a sell initiates the call phase in all other venues

Call Phase

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  • Real time uncrossing volume and price is published

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  • Orders can be entered in this phase

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  • Some venues prohibit cancels, others also limit amends to upsides

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  • Duration varies across venues

Random Uncross

  • A random uncross takes places after the call phase at random between two time intervals 

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Match

  • The price is pegged to a different benchmark depending on the venue

  • Majority of executions will take place at midpoint

  • Some venues fix the price at the point of the match, others take the midpoint at the end of the call phase

Turquoise, Nordic and Aquis Auctions

Duraon

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These operate in a similar fashion to Sigma (call phase starts when two orders are matched), with a few differences.

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  • Turquoise & Nordic -  pricing works on the principle of highest executable volume and is always between PBBO

  • Aquis - Uses Aquis Best Bid Offer (ABBO) to benchmark trades

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Durations

Sigma will only start the call phase if the PBBO is stable

CBOE does not have a call phase and a random uncross period, the call phase will end randomly triggering an uncross (subject to a match)

Order Entry

CBOEs call phase starts on the receipt of the first order

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The other venues call phase starts when two orders match

25ms

50ms

75ms

100ms

Turquoise 

Nordic

Aquis

Sigma

CBOE

125ms

Auction Start

Call Phase

Random Uncross

Intracacies anchor

Periodic Auction Intricacies

CBOE 
BATS Periodic Auction
(BATP/BEUP)

Intricacies

  • If a minimum execution size is sent a fill can be split into multiple fills that make up that minimum

  • Good for auction orders (GFA)

Goldmans Sachs
Sigma Auctions
(SGMV/SGMY)

Intricacies

  • Price is fixed from initial match

  • Can only amend sizes up during the call phase

Turquoise
Plato Lit Auctions™
(TRQA/TQEA)

Intricacies

  • Good for auction orders (GFA)

Nasdaq
Nordic Auctions
(LIQU/LEUE)

Intricacies

  • Speed bump on amendments to reduce order size and cancels

  • MES protection - One opposite order needs to be equal or larger than MES, to prevent aggregation or "bulking"

  • Good for auction orders (GFA)

Aquis
Aquis Auctions
(AQEA/AQXA)

Intricacies

  • Uses Aquis Best Bid Offer (ABBO)

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