Alpha IntraSpread

As part of Alpha's efforts to bring down the cost of trading and improve the quality of execution in Canada, we introduced the Alpha IntraSpread™ dark pool in June 2011. Since its inception, Alpha IntraSpread guaranteed price improvement and established lower active fees creating enormous savings in trading fees for retail brokers, as well as massive cumulative improved price of execution for Retail clients. Alpha IntraSpread high average trade size also demonstrates the unique quality of execution it provides for Retail clients.

Meanwhile, smart liquidity providers have enthusiastically tapped into this high-quality, un-intermediated Retail flow. While forgoing passive rebates and market spread, liquidity providers have found it very worthwhile to post in the Alpha IntraSpread book in order to avoid the toxic order flow present in other lit and dark markets.A stream of un-intermediated active Retail orders attracts liquidity providers who are willing to provide the price improvement. This, combined with our innovative matching algorithm, leads to:

• Higher fill rates
• Higher trade sizes that are typically double or more of those on transparent and other dark markets
• Better execution for the retail investor

UMIR provisions respecting dark liquidity, effective 15 October 2012, have imposed a significant price improvement constraint on trading in dark pools. As a result, Alpha has introduced the capability of Retail order flow to interact with the CLOB as well as with the Alpha IntraSpread book. Retail order flow thus enjoys the benefit of:

• Price improvement via interaction with mid-point Dark orders; and
• Access to both CLOB and Dark liquidity at the NBBO.

Alpha has added block trading capabilities within the Alpha IntraSpread order book. Large-sized orders can be posted without pre-trade transparency, and are ready to trade against an incoming block without affecting access to the Retail order flow.

How it works

Alpha Members may send Dark orders to the Alpha IntraSpread book with no pre-trade transparency. Dark orders trade exclusively with other Dark orders or with incoming FOK Seek Dark Liquidity^TM (SDL^TM) orders.

Dark orders trade with other Dark orders at the mid-point of the NBBO. They trade with SDL orders at the NBBO mid-point, or at the touch.

SDL orders trade with Dark orders at the NBBO mid-point, and then with CLOB liquidity at the NBBO. Large SDL orders (over 50 board lots or greater than $100,000 in value) then proceed to trade with Dark orders at the NBBO.

SDL orders may be submitted with one of three execution instructions:

1. Dark and Lit: SDL orders with the Dark and Lit option would trade with all eligible Dark and transparent orders in the Alpha CLOB while not trading through price levels on other market places.
2. Dark Price Improvement Only: SDL orders with the Dark Price Improvement Only option will only trade against Dark orders that offer a price improvement per the minimum price improvement regulatory requirement.
3. Dark Only: SDL orders with the Dark Only option will trade against both dark orders with price improvement and those without price improvement in full compliance of regulatory requirements.

When trading against other Dark orders, the Member can optionally place a minimum trade size (MAQ) on his Dark order for block trading. The MAQ does not apply to SDL matches. Further, Dark orders can be designated to trade with SDL orders only, Dark orders only, or both.

While Dark orders can be entered on behalf of any client, Alpha Members can enter SDL orders exclusively on behalf of their Retail clients.

To download our Alpha IntraSpread Product Sheet, click here.

For Alpha IntraSpread and our Trading Policies, click here.