LSEG FX Extends Price Elision Programme

LSEG FX is extending its Price Elision programme that was launched in October 2024 by introducing five additional currency pairs.

Price Elision allows users to place orders to the central limit order book (CLOB) in fractions of a pip, it was launched last year with six pairs, AUD/USD, EUR/GBP, EUR/SEK, EUR/NOK, USD/SEK and USD/NOK. In the first two pairs, participants are able to place bids at a tenth of a tick increments. In the Scandi pairs, the protocol allows dealers to place bids and offers at one pip increments, compared to the current 10 pips. Previously dealers had the ability to place orders at half-pip granularity in AUD/USD and EUR/GBP.

In December 2024, LSEG announced that the programme had seen positive results, citing data that indicated an average saving of $18.4 per million for takers on the CLOB, and continued work to add the new pairs, GBP/USD, NZD/USD, USD/CAD, EUR/USD & USD/JPY, the first three of which are “core” pairs on the Matching venue.

The firm says that since the programme started, over 67,000 trades have been executed by more than 85 different client codes across both API and GUI users, of which 90% was from sell-side participants.

The latter is unsurprising given the core target audience of Matching is banks and other liquidity providers, however an extension to the programme will be seen as justifying the initiative, which was launched amidst some scepticism given how it had been tried in the CLOB space previously with mixed results.

A key differentiator for the LSEG approach was seen at the time as how the firm maintained its market data structure, only publishing at full pip increments, thus keeping the price improvement activity “dark” in terms of price level.