LSEG Sees Positive Early Signs for Price Increments on Matching

Just under two months into the project, LSEG FX says its Price Elision initiative on its Spot Matching platform is delivering an average of $18.4 per million saving for takers on the firm CLOB.

Price Elision was launched in early October in six currency pairs, AUD/USD, EUR/GBP, EUR/SEK, EUR/NOK, USD/SEK and USD/NOK, allowing participants to place bids and offers at a tenth of a tick increments for the first two, compared to half-tick, and at one pip increments in the Scandis, compared to the current 10 pips.

Although there were concerns expressed ahead of launch about the risk of behaviour like tagging and pipping, a key element of Price Elision is that LSEG FX doesn’t publish market data outside the full pips. This seems to have paid off with the aforementioned saving coming from the first 18,000 trades observed over a seven-week period, from 117 takers.

The gains ranged between $11 and $20 per trade, with the average gain of $18.4 per million, based upon price improvement on aggresses.

LSEG plans to make a decision on whether or not to expand the initiative in 2025, but if this rate of saving is continued it is likely to expand into other pairs in Q1. Certainly Paul Clarke, head of FX venues at the firm is upbeat, stating, “Customer feedback has been overwhelmingly positive. We have been pleased by the extent of adoption across traditional makers but also among our GUI population and we still have expectations of a bigger ramp up. [It’s] always a great win when you do something that improves the ecosystem.”