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Multilateral trading facility Chi-X Europe has launched its dark liquidity pool, Chi-Delta.
Chi-Delta is a non-displayed, reference-pegged order book. It runs in parallel to the existing Chi-X Europe visible order book, and uses the MiFID reference price waiver for pre-trade transparency for non-displayed orders that do not meet the “Large in Scale” order size requirements.
Prices on Chi-Delta currently use the Primary Best Bid and Offer (PBBO) as a source of reference prices, though the European Best Bid and Offer (EBBO) is expected to become the source of reference prices at a later date, subject to regulatory approval. Mid-peg matching is supported and orders match on a continuous basis.
Existing Chi-X participants automatically have access to the platform and market data will continue to be disseminated for free via the MTF's feed, with non-displayed executions flagged accordingly.