Xetra Midpoint
Midpoint trading in German equities and European ETFs with reference market Deutsche Börse Xetra
Xetra Midpoint enables all trading participants to trade at the midpoint price that prevails directly at the heart of price discovery. Execution quality in Xetra Midpoint trading is superior to other trading venues: due to the latency-free connection to the reference market Xetra, execution of midpoint orders at a stale reference price is prevented and therefore any cross-venue latency arbitrage risk is eliminated.
Your advantages at a glance:
Xetra Midpoint is a highly consistent, easy to implement, and ready to use service
- No pre-trade transparency: Protect your intentions and prevent information leakage
- Zero latency to reference market Xetra: trading at the realtime midpoint price and strict sequencing and processing of incoming orders across Xetra Central Limit Order Book (CLOB) and Xetra Midpoint order book
- Potential price improvement: Save half the spread compared to aggressive execution in the Xetra Central Limit order book
- Reference Price Waiver: no order size restrictions and no tick size constraints for Xetra Midpoint execution prices and for optional order limits for Midpoint orders
- Efficient regulatory reporting: Dedicated reporting MICs for all trades concluded in Xetra Midpoint
- Attractive fees and launch incentive programme: sign up today
What it is:
The Xetra Midpoint order book is “dark”. It is exempted from pre-trade transparency under a Reference Price Waiver. Orders in the Xetra Midpoint order book are not visible to any other market participant thus they are protected against information leakage.
In the Xetra Midpoint order book, orders are always executed at the midpoint of the currently available best bid/best ask spread in the Xetra Central Limit Order Book (CLOB) during continuous trading. All equities and ETFs for which Xetra itself is the reference market (“most relevant market in terms of liquidity” as per ESMA transparency calculations) are available.
For each trading day, the respective securities are marked in the current “XETRA All tradable instruments” csv file on the website and in the T7 Instrument Reference Data Interface (T7 RDI) in field “MidpointTrading” (column EP in csv file; field tag 28913 in T7 RDI). The reporting MIC for midpoint trades in each security is provided in field “MidpointExecutionVenueID” (column EQ in csv file; field tag 28914 in T7 RDI).
Sign up!
Do not miss the next Xetra Midpoint Newsletter and sign up today (choose “Newsletters – Xetra”)!
How it works:
Trading participants can trade in the Xetra Midpoint order book by labelling any market order or limit order as either “Midpoint order” or “Sweep order”. Midpoint orders are entered into the Xetra Midpoint order book only, whereas Sweep orders will try to match against sitting Midpoint orders in the Xetra Midpoint order book. If no such match is possible, or if the Sweep order is only partially executable in the Xetra Midpoint order book, the Sweep order with its full or remaining quantity is forwarded instantly to the Xetra Central Limit Order Book (‘dark-to-lit’) and converted to a regular Market order or Limit order in the trading model “Continuous Trading with Auctions” and immediately executed there (if possible).
- Order for dark book only
- Optional MAQ – prevent partial executions below a minimum quantity of choice
- Pegged to Realtime Midpoint Price – taken directly from the best bid / best offer price in Xetra CLOB
- Simple value-based fee – all executions of midpoint orders for only 0.3bps, passive and aggressive
- Easy to use – make your limit or market order a midpoint order by adding just one flag
- Incentives – learn more about our Changes to the price list for the use of stock exchange IT systems
- Tap liquidity across dark and lit book
- No latency disadvantage – no other order gets into CLOB while your sweep order is being executed in Xetra Midpoint
- Always available – even if the Xetra Midpoint order book is unavailable or there is currently no midpoint price in an instrument, you can send sweep orders – they will simply go to the CLOB
- Same fees – execution fees in Xetra Midpoint mirror applicable fees in CLOB
- Clear identification – execution responses and trade confirmations show exactly which quantity was executed in which order book
- Easy to use – make your limit or market order a sweep order by adding just one flag
Key order features:
Order attribute | Midpoint order | Sweep order |
Execution | Xetra Midpoint order book only | Immediate execution in Xetra Midpoint order book if possible, automated transfer of remaining quantity to Xetra CLOB / trading model Continuous Trading with Auctions |
Limit | ✓ (not restricted by ESMA Tick Size)(not restricted by ESMA Tick Size) | ✓ (restricted by ESMA Tick Size) |
Minimum Acceptable Quantity | ✓ | ✕ |
Immediate-or-Cancel | ✓ | ✓ (residual quantity deleted only in CLOB) |
Fill-or-Kill | ✓ | ✓ (full execution either in Xetra Midpoint order book or CLOB, not combined) |
Book-or-Cancel |
| ✓ (immediate execution in Xetra Midpoint possible at entry, only validated at entry into CLOB) |
Validity restrictions | ✓ | ✓ |
Trading restrictions (auction only) |
(order is rejected) | ✓ immediate execution in Xetra Midpoint order book possible at entry) |
Trade-at-Close | ✓ (flag is ignored) | ✓ (immediate execution in Xetra Midpoint order book possible at entry) |
Trading Capacity | Agency, Riskless Principle, Market Maker, Proprietary | Agency, Riskless Principle, Market Maker, Proprietary |
CrossID | ✓ (Midpoint Self-Cross Prevention) | ✓ (Midpoint Self-Cross Prevention in Xetra Midpoint order book, Self-Match Prevention in CLOB) |