MTFs & Smart Order Router

As well as providing access to traditional exchanges, L2 Dealer includes prices from two Multilateral Trading Facilities (MTFs). These MTFs function as alternatives to traditional exchanges such as the LSE or Euronext and can contribute as much as 40% of a share’s overall liquidity.

Over 1450 UK and European shares are available on L2 Dealer through Chi-X and Turquoise, Europe’s two leading MTFs.

Hybrid Order Book

When you open a Deal Ticket for a share listed on an MTF there will be up to four ways you can view the order book: a hybrid view of all available prices (regardless of venue), just the primary exchange prices, or the prices on each of the individual MTFs – Chi-X or Turquoise. Normally you will want to view the Hybrid order book which includes the most favourable prices, regardless of their venue. Sometimes, however, you may wish to see the order book from just the MTF or the individual exchange and these options can be toggled at the top of the Deal Ticket:

Order Book Options

Smart Order Router

The Smart Order Router (SOR) is a mechanism that works behind-the-scenes to provide you with the best possible price every time you place an order. Whenever you make an order, the SOR scans all available prices and volumes on each venue in an attempt to get you the most favourable fill - even if this means your order is split across multiple venues. This makes it more likely that your order will be filled and can often result in your order being filled at a better price. While your order might be split across up to three venues, you only pay commission for each completion of an order. In practice you will therefore only pay commission when the entire order is filled or amended.

Aggressive and Passive Orders

The SOR will always attempt to fill as much of your order as possible as an 'aggressive order' (that is filled immediately at an available level). If there is not sufficient liquidity to fill your order, it will be routed to the primary venue and will work in the order book as a 'passive order'. If the SOR then detects an opportunity to execute on another venue, it pulls the relevant amount from the primary exchange and sends it to the venue that has the better price.