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Animateurs - Continuously post bid and ask quotes for a minimum quantity and a - No trading fees
maximum spread - Pool of liquidity (cash and shares) may be provided by major
- Make similar offers before call auctions shareholders (liquidity agreement)
SETS
Retail Service Providers - No specific obligations: can execute retail orders on own account at best - No privileges
market prices
Principal traders - No specific obligations: can execute large trades on own account - Publication delay
- For WPA: price and size improvements must be provided
- No specific obligations - No privileges
SWX
TSA
Hoekman - Continuously post bid and ask quotes - Fee (high courtage fee) when acts as principal
- Trade only when insufficient order flow - Can freeze the order book when quote is lifted or hit
- Trade only with members (restricted capacity) - Only one Hoekman per stock
- Execute odd lots on its own account
Principal traders - Can trade for own account at prices at or within best bid and ask prices with - No privileges
order book interaction.
(Retail orders)
Principal traders - No specific obligation: can trade on own account at any price. - No privileges
(Wholesale orders)
XETRA
Betreuers - Post two-sided quotes when requested by members - No trading fees
- Post two-sided quotes in call auctions - Knowledge of the identity of the trader placing a request
- Preferential access to surplus in call auctions
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Table 7: Pre-Trade Transparency in Continuous Order-Driven Markets
NSC SETS TSA SWX Xetra
Members Investors Members Investors Members Investors Members Investors Members Investors
Limit Order Book Full Book 5 Best Bids Full Book Full Book Full 5 Best Bids Full Best Bid Full Best Bid
and Offers Book and Offers Book and Offer And Offer
Book
Identities of Liquidity Yes No No No No No** No
Depends* Depends* No
Providers
Hidden Orders Yes No Yes*** Yes**** No
*The Hoekman always knows the identity of the traders submitting orders. The traders who post limit orders can decide to reveal their identity to the market.
** Betreuers have access to brokers ID who make a quote request.
*** Hidden orders in TSA will be introduced in 1999. They will be called Drip-In-Orders .
****Hidden orders are marked as such in the order book.
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Table 8 (ctd.): Pre-Trade Transparency in pre-trading phase of Call Auctions
NSC SETS SWX TSA Xetra
Order Book Opened* Opened Closed Closed** Closed
Indicative Equilibrium Yes No*** Yes Yes**** Yes*****
Price
* Only orders that would not be executed at the Indicative Equilibrium Price (IEP) are disclosed. In addition to the IEP, the total trading volume that would be eligible for
trades at IEP is revealed.
** The entire book is revealed to members only 5 minutes before call.
*** The LSE does not disseminate the indicative equilibrium price but data vendors can.
**** 5 minutes before call for members only.
***** Only during the call phase, which lasts 5 to 11 minutes depending on stocks.
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Table 9: Price and Publication of Large Orders
Publication Delay for Block Trades Block Price
NSC Order Size
2 hours if broker acts as counterparty i (i) No obligation to execute offers posted at better prices in
Immediate if broker acts as agent the limit order book.
ii Block price must be inside the weighted average
Order Size > 5 NBS spread, that is computed using the best ask and bid
Next morning if broker acts as counterparty prices in the limit order book up to NBS**.
Immediate if broker acts as agent
Structural blocks* (iii) Structural block prices can be within +/-10% of the best
- Immediate or T+2 if member acting as bid and ask quote
principal has not offset his position
SETS*** Ordinary risk trade: Immediate publication.
Worked Principal Agreement: End of the trading (i) No obligation to execute offers posted at a better
day or once 80% of the transaction is offset price in the limit order book.
(ii) No price link with central limit order book
SWX 30 minutes. (i) No obligation to execute offers posted at better prices in the limit
order book.
(ii) Rule of Best Execution: Same execution prices as those that
could be realized in limit order book.
TSA Publication of wholesale trades at the end of Wholesale orders can be executed at any price
trading day.
XETRA N/A N/A
*The value of a structural block must represent at least 2% of the company s capital or be greater than FF50m for a stock with a market capitalization larger than FF1bn.
It must be at least 5% of the company s capital otherwise.
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