Inside Market Data: Aquis Readies Market Data Feeds, Policy

July 23, 2013

Proposed multilateral trading facility Aquis Exchange is finalizing details of its market data feeds and data policies ahead of a potential go-live date in the fourth quarter of 2013.

The MTF, founded by Alasdair Haynes — former chief executive of Chi-X Europe prior to its 2011 takeover by rival MTF BATS Europe — will leverage a proprietary compact binary protocol to provide market data via a multicast data delivery mechanism, which will transmit data to multiple receivers simultaneously in a single transmission.

The protocol was developed in-house to meet the venue’s specific performance requirements for a faster and higher-capacity alternative to the traditional FIX or FIX/FAST Protocols, says Belinda Keheyan, head of marketing at Aquis Exchange, who also served at Chi-X Europe prior to its acquisition. The MTF needed a high-capacity data protocol because it plans to trade all listed stocks across 15 European countries.

“We don’t want to be a national or regional MTF like [Nordic MTF] Burgundy; we intend to be a full pan-European player with an order book for bigger stocks, and market makers for all other stocks,” Keheyan says. “And speed and bandwidth [for delivering that data] is better with our own protocol.”

Initially, Aquis plans to offer its data free of charge in a bid to tackle the current “duopoly” situation in Europe — where trading in key indexes is split geographically between the domestic exchange and BATS Chi-X Europe — which Keheyan says is resulting in higher costs for both trading and market data.

“BATS Chi-X Europe charges less for its data than the London Stock Exchange and NYSE Euronext, but only covers a small section of stocks, and you can’t substitute it… so it’s an additive cost. So giving our data away for free at the beginning should make an impact,” she says, adding that the MTF does plan to introduce modest fees later in its development.

Aquis also hopes to shake up the market with a new fee model for trading on its hybrid order-driven and quote-driven books, which will charge firms according to the message traffic they generate, as opposed to a percentage of the value of each trade, with different pricing bands to accommodate varying degrees of usage. For example, smaller firms that generate very low order traffic and are typically disadvantaged by the pricing structure of incumbent exchanges, will fall into a lower price bracket, Keheyan says, while the venue’s largest users will pay the highest fee for unlimited usage. “There is little sense in the way pricing works at present, so we are introducing a subscription model that will encourage more trading and remove cost as a barrier to entry.”

Having announced plans to operate an MTF last October, Aquis filed a petition to operate a pan-European equities market in January. Testing of the proprietary market data protocol has already begun to ensure member firms can connect to the venue’s proprietary feed when the exchange goes live, scheduled for the fourth quarter of this year, subject to approval from the UK regulator the Financial Conduct Authority (FCA).

Firms can access the MTF’s trading engine and market data directly at Equinix’s LD4 facility in Slough, outside London, which Aquis recently announced as its primary datacenter, or via leased lines or extranets.