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SETS intra-day auction


sets intra-day auction

London Stock Exchange announces the introduction of the new scheduled daily SETS Intra-day auction for equities on Monday 21 March 2016.

The new Intra-day auction is a Midday price forming auction mechanism for trading larger sized orders.

Participants will benefit from:
  • Opportunity to take part in a price forming liquidity event, timed to coincide with the traditional low point in daily volatility, and exempt from the MiFID II double volume caps in dark trading
  • Only Level 1, top of book data, visible during auction, limiting market impact of larger sized block orders
  • Provision of mid-day price formation for products and portfolio benchmarking, removing the need to use last or mid-price

For more information about intra-day auction, please contact our Sales Team

Understanding the intra-day auction
  • Opportunity to take part in a price forming liquidity event, timed to coincide with the traditional low point in daily volatility, and exempt from the MiFID II double volume caps in dark trading
  • Only level 1, top of book data, visible during auction, limiting market impact of larger sized block orders
  • Provision of mid-day price formation for products and portfolio benchmarking, removing the need to use last or mid-price


Technical documentation

Our commitment to continue to enhance our markets and deliver better value to customers is demonstrated by the adoption of MillenniumIT multi-asset class, ultra-low latency platform Millennium Exchange.



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