Dear Cboe UK Participants,
Cboe UK (Cboe) is pleased to announce the introduction of an Additional Liquidity Provider Scheme (A-LPS) which will reward Participants for setting the Best Bid or Offer on the CXE Lit Order Book in eligible securities effective Friday 1st May, 2020.
Eligibility and minimum requirements
Subject to meeting the pre-existing Liquidity Provider Scheme (LPS) detailed on the Trading Price List
Additional Liquidity Provider Scheme (A-LPS)
For each displayed add order that sets the CXE Lit Order Book BBO (in the eligible securities and qualifying minimum sizes detailed below) and subsequently executes, an additional -0.10bps fee will be credited on the notional value executed (partials or full). Any order modifications will cause the order to be re-assessed.
Eligible securities and qualifying minimum size
Initially the A-LPS will be available in Milan blue-chip listed securities detailed in the CXE reference data file
Charge for removers (takers)
A standard effective charge of 0.325bps will be applied to the notional value of remove executions in eligible Blue Chip Milan securities. A monthly discounted rate for executions against orders that do not meet the size and price qualifying criteria for A-LPS will be applied at the standard CXE Lit Order Book remove charge rates.
The effective 0.325 bps rate will be achieved by applying an additional charge to the standard CXE remove tier charge for an execution. This value will be calculated at the end of each month by deducting a Participants pan-European blended removed bps charge on the CXE Lit Order Book from 0.325bps. Trades against orders that do not meet the size and price qualifying criteria for A-LPS will have this charge removed.
Trade Reconciliation - Fee Codes and Liquidity Indicator Values
To assist Participants with trade reconciliation, new Fee Code and Liquidity Indicator values will be returned on FIX and BOE session execution messages as follows:
* The FeeCode(9882) FIX tag and FeeCode BOE field will contain AS = Added Liquidity A-LPS BBO Setter or RS = Removed Liquidity from A-LPS BBO Setter
* The TradeLiquidityIndicator(9730) FIX tag will contain AS = Added Liquidity A-LPS BBO Setter or RS = Removed Liquidity from A-LPS BBO Setter
* The SubLiquidityIndicator BOE field will contain S = Liquidity A-LPS BBO
The end of day Trade Data File
The A-LPS will be introduced for an initial period of 6 months. Cboe will consider adding further securities or other market segments during or after this initial 6 month period, subject to regulatory approval.
The CXE UAT environment can be used for testing now:
* The "setter_size" column in the Symbol Reference Data file
* The Fee Codes and Liquidity Indicator values described in the "Trade Reconciliation" section above which will be returned on applicable executions via FIX and BOE sessions
Effective Monday 27th April 2020 the Trade Data File
Trading Price List
The updated Trading Price list detailing the A-LPS is available for download here Trading Price List
Please contact your Account Manager
Thank you for your continued support.
Cboe Europe Equities
T. +44 20 7012 8901 (UK); +31 20 299 6801 (NL)
E. [email protected]
* Cboe Europe Limited is a Recognised Investment Exchange regulated by the Financial Conduct Authority.