Lynx Periodic
Matching
Purposeful Innovation.
With a launch currently planned for April 2025, Tradelogiq will implement a novel market structure on the Lynx ATS platform.
This new Periodic Matching market structure will consist 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 ATS will consist of two functionally separated books, accessible through existing 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
In addition to this exciting new market model, Lynx will re-launch with new order types that have been designed to bring additional value to participants within the context of periodic matching.
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.
The details of the above new order types as well as other new features are included the updated FIX specification and Trading Functionality Guide.
Benefits of the New Model
Lynx ATS’ Periodic Matching model is designed to bring new 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. |
Accessing the New Lynx
- The new model can be accessed through existing Lynx ATS order entry sessions and market data feeds.
- No new development will be necessary to interact with the foundational features.
- New order types and features, including but not limited to Primary Pegs and Market Pegs, can also be accessed through existing order entry sessions. Corresponding development details are available within the updated FIX specification.
Resources
The following documents incorporate changes to existing guides and specifications that will take effect upon the launch of the new Lynx ATS Periodic Matching Model.
