Squawker® and SIX Financial Information Form Partnership

Squawker Participants to Execute pan-European Block Trades Always at Consolidated Mid-Price and Consolidated VWAP

London (UK) – Monday 21 January 2013 – Squawker®, the negotiation venue for sell-side block trading, and SIX Financial Information, today announced the signing of a new partnership. According to the agreement, SIX Financial Information will supply Squawker with real-time, pan-European market data via its flagship product Market Data Feed (MDF) allowing Squawker participants to execute pan-European block trades always at consolidated mid-price and consolidated VWAP. The announcement, which comes shortly after news of Squawker’s addition to the BT Radianz Cloud, underlines the new venue’s commitment to building solid relationships with robust, quality and trusted financial services providers.

From the venue’s go-live, scheduled for March 2013, Squawker will use SIX Financial Information’s pan-European data to populate its entire suite of instrument masters. Real-time data will enable Squawker to calculate consolidated mid-price and end-of-day consolidated VWAP prices. It will drive fat-finger checks and deliver data relating to exchange open/closing changes, as well as trading halts and resumptions information.

Christopher Gregory, co-founder and CEO, Squawker, comments: “Squawker’s collaboration with SIX Financial Information is crucial to the venue’s success. Using SIX Financial Information’s data via the Squawker platform, Squawker’s sell-side trading participants of mid-price interest will always execute at the consolidated mid-price of Europe’s national exchanges and major MTFs. Similarly, VWAP-interested participants will be able to agree a block trade at any point throughout the day that is guaranteed to execute at the day’s consolidated VWAP price.”

Martin Cole, Managing Director, SIX Financial Information UK Ltd, comments: “Squawker has the potential to redefine the way the market trades block sizes. No longer will firms need to slice up their large trade sizes and drip them slowly into the market over a period of time, risking impact cost or the unwanted attention from detrimental algorithmic flow. SIX Financial Information’s high quality and comprehensive coverage coupled with its real-time data availability delivers upon Squawker’s sell-side trading community data reliability requirements.”

MDF is a high performance, real-time global market data service delivering consolidated market information from exchanges, multilateral trading facilities (MTFs) and institutional contributors. MDF is particularly well suited for feeding applications which demand mid to high range data throughput.

Squawker Plucks EU Quote Data from SIX – Inside Market Data

 
Squawker will capture real-time quote data from exchanges and multilateral trading facilities located in 16 countries across Europe via SIX FI’s MDF consolidated market data feed, to support its calculation of consolidated mid-price and end-of-day consolidated volume-weighted average prices (VWAP), which the venue will disseminate to its trading participants.

Squawker began looking for a market data provider to supply quote data for use in its price calculations nine months ago, says co-founder and chief executive Christopher Gregory. “There were only a few providers of a true pan-European consolidated feed, and SIX offered the right combination of cost-effectiveness and quality,” he says, adding that “SIX already had comprehensive coverage—including all the instrument information, as well as the price data,” for all European exchange-listed instruments that Squawker plans to trade, including equities and exchange-traded funds; bonds, warrants and convertibles; swaps, rights, forwards and futures; and currencies, money markets and floating-rate notes.

While Squawker will receive the quote data from SIX FI in real time, it will not stream the real-time prices to its participants, but will instead notify them of the consolidated mid-price or the end-of-day VWAP prices at specific trigger points, such as when a buyer and seller agree to a trade.

“On Squawker, we match counterparties together. We don’t match orders. It’s an introduction between a buyer and seller,” Gregory says. “Users tell us what they would like to buy or sell, and they express their interest in trading at the consolidated midpoint (or at the VWAP), and if both sides agree, we calculate what the consolidated mid-price (or VWAP) is using the SIX market data. Then, if they agree to trade, we use social network techniques to allow them to enter into an anonymous discussion to agree a volume.”

Squawker will connect to SIX FI’s MDF feed via the Radianz financial extranet from telecom and network provider BT, which the venue announced in November will host and manage the technology infrastructure behind its negotiation platform in its datacenters, and will provide brokers with access to its marketplace.

No Block Trade Roadblock Squawker has already completed the integration of the datafeed into its infrastructure in preparation for the platform’s launch, says Gregory, a former senior executive at Fidessa and chief executive of Penson in Europe, who—along with director of sales and trading Christopher Brazier, who was formerly head of UK sales for global execution at BNP Paribas—founded the venue last year to improve the sell-side’s ability to execute institutional block trades.

“As people have used algorithms to execute trades on traditional electronic order books, the trade sizes have gotten smaller and smaller,” Gregory says. “Squawker is not a high-frequency system; it is designed to run at the speed of human beings. There is no high-frequency or algorithmic trading,” he adds.