ICX comprises two separate block focused dark pools – VWAP (Volume Weighted Average Price) cross and BLX – both of which are based on models and powered by Instinet’s exchange-caliber matching technology.
Instinet said ICX’ VWAP cross runs each day at 9:15 am ET. Matches are locked in at the match time, with executions priced and printed after the market close once the stock’s volume weighted average price has been determined using the day’s consolidated market data feeds from all visible Canadian markets.
ICX’ BLX is an algo-friendly dark pool that seeks to build block trades by accumulating orders until a variable volume threshold is reached. BLX was designed specifically to increase trade size by appealing to an array of trading participants, including both passive block traders and those using algorithmic trading strategies.
The BLX model also includes several built-in anti-gaming features, such as volume triggers and a mid-point pricing window, to prevent the system from being pinged by informations eeking traders, said the company.
Instinet Canada Cross managing director Peter Coffey said the original purpose of dark pools was very simple: to allow institutions to trade in size without moving the market. While the Canadian equity market’s recent evolution has by and large been a positive, it has come at the expense of block trading.
"With ICX, we’re looking to bring back the Canadian block by providing our clients with the high-quality liquidity that’s become so difficult to find," Coffey said.
