Bats Trading, an innovative and technology leading U.S. market center, announces that Knight Link has been added as a destination for Bats' Dark Scan, an order type designed to pass price improvement and lower access fees along to subscribers.
Knight Link is a new way to access Knight Equity Markets' deep off-exchange liquidity, providing rapid order execution in more than 7,300 U.S. securities with little or no market impact. Knight Link had an average daily share volume of over 80 million in the first quarter of 2008.
Under Dark Scan, BATS routes to Dark Liquidity Partners and offers a lower access fee to its subscribers. After accessing Dark Liquidity Partners, the remaining shares can match in just 400-500 microseconds at $0.0025 per share on the BATS book, currently the lowest across-the-board liquidity removal rate among major market centers.
"We're proud to add Knight Link to Dark Scan as we keep our promise to include only those Dark Liquidity Partners likely to offer the best fills for our customers," said Joe Ratterman, BATS Chief Executive. "In the past three months we've unveiled Dark Scan, our CYCLE smart order routing strategy and Dark Match, an innovative pricing program for larger trades. These are all proof that BATS is working to Make Markets Better for our customers and the industry at large."
"With the addition of Knight Link in the Dark Scan order type, BATS subscribers can now benefit from higher fulfillment rates in difficult-to-trade names, as over 50 percent of Knight Link's volume is made up of companies with $2 billion or less in market cap," said Jamil Nazarali, Managing Director and Head of Broker-Dealer Electronic Trading, Knight Equity Markets. "We look forward to providing this new source of off-exchange liquidity, as well as quality trade executions."
Dark Scan will require anywhere from 5 to 50 milliseconds for potential DLP fills before the order is sent back to the BATS book to fill any remaining shares. Also please note that, if there is liquidity on the BATS book that offers price-improvement relative to the NBBO, those orders will be accessed before routing to DLPs.
Liquidity Ping by ATD, A Citi Company, and Liquidnet H20TM are currently also part of the Dark Scan program.
The order type is completely optional, and customers will need to opt-in by setting FIX tag 18=z (lower case) in order to take advantage of the new functionality. Dark Scan orders can also be flagged to route unfilled shares to other markets using BATS CYCLE be setting fix tag 9303=R, or as non-routable by setting 9303=B (BATS Only). Each DLP fill will have the lower access fee reflected in FIX tag 9621 (ECNAccessFee). In addition, FIX tag 375 (ContraBroker) will reflect "DARK" for each DLP fill.
A primary tenant of BATS Dark Scan is the transparency of DLPs. Subscribers can count on knowing who is in the list of DLPs at BATS at all times. On a trade by trade basis, however, full anonymity (for both sides) is maintained.
Randy Williams, vice president of sales and communications, and Jon Schneider, sales manager, are the contacts for BATS connectivity in the U.S. Firms interested in connecting in Europe should contact Ken Conklin, senior vice president of business development, at the coordinates below.