Imagine a dark order type that instantaneously refreshes the displayed portion of an entire order as it is executed. This is the idea behind Omega ATS’ first dark order in its electronic offering stable.
Dubbed ICEBERG, the order type is similar to U.S. reserve order types, according to Sean Debotte, director of business development at Omega. Omega ICEBERG allows the participant to predetermine displayed share amounts in the Omega order book while "reserving" the remainder as a fully hidden order.
The goal is to get as many shares executed in the lit market. Canadian trading rules give priority to orders posted in the displayed markets. Thus, a faster refresh rate means more shares posted and executed in Omega and ahead of other lit venues and dark competitors.
"Our new ICEBERG order reduces detection of hidden liquidity and helps to protect the participant, while providing the fastest matching and refresh rates in the country," Debotte said. "This is designed to attract institutional traders and hopefully blocks too."
ICEBERG has a refresh rate of less than a millisecond, he added. Other Canadian dark order types have refresh rates between 1.5 and 3 milliseconds, according to sources.
The displayed portion of the order must be at least one standard trading unit, or 100 shares for stocks priced over one Canadian dollar, and will have priority over all dark liquidity at the same price.
Omega’s ICEBERG order is not subject to special pricing. All liquidity added to the Omega book, both lit and hidden, will be priced using the firm’s standard pricing model.
