BATS introduces Minimum Acceptable Quantity

BATS is updating its Periodic Auctions Book with Minimum Acceptable Quantity (MAQ) for traders who deal in larger sizes. 

BATS says that the new feature provides "participants with control over the minimum total execution size of their order, subject to regulatory approval. Orders designated as MAQ will not execute unless the minimum quantity or greater can be fulfilled. This adds to the book's existing Minimum Order Entry Size restriction of €3,000. Both features are designed to make sure participants can trade with confidence at an increased size with minimal market impact."

David Howson, Chief Operating Officer at BATS Europe said: "We are pleased to further enhance our Periodic Auction Book with this new feature... This capability was particularly important when we canvassed buy-side and sell-side participants on where we should focus our product development as it allows them to more seamlessly integrate this order book into their SoRs and algorithm suites."

BATS said "A total of €93 million was traded in the Periodic Auctions Book in August, including hundreds of trades in excess of €50,000, as well as some trades in excess of €100,000. Month to date for September, €47.9 million has been traded on the book. In addition, data from LiquidMetrix shows that these trades had less market impact, and executed at a larger trade size than those on other lit and dark venues."

The Periodic Auctions Book was launched in September 2015, at the time BATS said that its "aim is to prioritise those participants willing to post larger orders by creating successive auction events throughout the course of the trading day on the new Periodic Auctions Book, allocating trades in order of price and size. More than 4,000 European stocks will be available to trade, with the frequency of auction phases determined by the liquidity characteristics of an individual stock."