Lynx Periodic
Match
Purposeful Innovation.
Launched in April 2025, Lynx Periodic Match reflects the implementation of a novel market structure on the Lynx ATS platform.
The Periodic Match market structure consists of multiple Collection Periods during which orders can be sent, amended and cancelled, with each Collection Period being followed by a Match Event where executions are processed.
Lynx Periodic Match consists of two functionally separated books, accessible through the same connectivity and order entry sessions.
- Visible Book: Consists of displayed price-setting DAY orders and liquidity-taking Event-or-Cancel (EOC) orders.
- Midpoint Book: Consists of fully-hidden Midpoint Peg orders.
Visible Book
Visible Book matching occurs in two stages:
Stage 1: EOC-to-DAY
EOC orders will be matched against DAY orders at the resting executable price of the passive DAY order, similar to how trade price is determined in a continuous auction model. EOC orders will trade in order of receipt against resting DAY orders, with Price/Broker/Time priority applicable to the DAY orders.
Stage 2: EOC Final Turn
After Stage 1, any unfilled EOCs with a limit price equal to or better than the Protected NBBO midpoint will be matched against each other at that midpoint price. Subscribers will have the ability to opt out of this phase of matching.
Midpoint Book
Eligible Midpoint Peg orders will trade with each other at the Protected NBBO midpoint. Midpoint Pegs will execute in the order in which they were received against all eligible contra-side Midpoint Pegs according to broker (both attributed and not) then time priority. Midpoint Pegs will never interact with non-Midpoint Pegs entered into the Visible Book.
Additional Features
Lynx Periodic Match includes order types designed to bring additional value to participants within the context of its periodic matching model.
Primary Pegs
Visible DAY orders pegged to the same-side Protected NBBO can mitigate adverse selection. If the protected price level changes during a Collection Period, Primary Pegs will automatically reprice to the new Protected NBBO, avoiding executions at potentially undesirable prices. The following features can be added to Primary Pegs, allowing for large orders to receive executions throughout the day at relevant prices with minimal information leakage:
Iceberg
Minimum Interaction Size (MIS)
Market Pegs
EOC orders that are pegged to the opposite-side Protected NBBO can avoid executions at prices that are inferior to the Protected NBBO, in the event that the Protected NBBO is improved during a Collection Period.
Details regarding the above order types and other features can be found in the FIX specification and Trading Functionality Guide.
Benefits of the Model
The Lynx Periodic Match model is designed to bring value and benefits to both providers and takers of liquidity.
| Providers of Liquidity | Takers of Liquidity |
|---|---|
Reduced Adverse SelectionThe ability to manage orders throughout the Collection Period allows providers of liquidity on Lynx to have improved control over execution conditions leading to better execution quality. |
Ability to Manage ExposureWhether as a result of being able to amend and cancel EOCs during a Collection Period, or through use of the new Market Peg order type, liquidity-takers will be able to manage exposure in a manner not available on competing delay markets. |
More InclusiveVisible Primary Pegs are designed to extend protection to all participant types, regardless of the level of their investment in infrastructure. |
EOC Final TurnThe EOC Final Turn allows orders that are typically liquidity-taking to trade with one another (at the Protected NBBO midpoint) in the absence of liquidity-providing orders, offering access to a new and novel source of liquidity and price improvement. |
Improved Liquidity EnvironmentOur innovative market structure is designed to boost confidence, encourage larger order sizes, foster tighter spreads, and ultimately reduce trading costs for active order flow. |
