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The Trading Mesh

September 2015

BATS auctions off the block problem

September 11, 2015 Comments (0)           

This article was originally published at the Fidessa blog, and is reproduced here with permission. By Steve Grob

There has a been a lot of talk about how to trade blocks that are smaller than the LIS waiver but that are still too big to go to regular lit markets. The debate has been ratcheted up by the 4 and 8% dark pool caps that are part of the MiFID II spectre looming above us all. One approach, of course, is to chop your block into smaller pieces with an algo but this is...