November 24, 2020

Goldman Sachs to Launch Sigma X Europe MTF

London - 24 November 2020 - Goldman Sachs announced today its intention to launch SIGMA X Europe MTF, a multilateral trading facility regulated under MiFID, as an additional offering to its UK-based SIGMA X MTF. SIGMA X Europe MTF will be located in Paris and operated by Goldman Sachs Paris Inc. et Cie (GSPIC) and intends to launch prior to 4th January 2021, subject to receipt of all necessary regulatory approvals. Like its London counterpart, the European MTF will have both a Non-Displayed and Periodic Auction book.

SIGMA X Europe MTF will allow Goldman's clients to continue to access unique liquidity post-Brexit. SIGMA X MTF offers a superior source of liquidity, with flatter post-trade markouts and larger average execution size than competing order books, as demonstrated by third party analytics providers. The intention to launch SIGMA X Europe MTF underscores Goldman Sachs' broader commitment to servicing its clients within the European Union and to providing comprehensive liquidity solutions to its international clients.


"We want to ensure that our clients continue to have access to all of our key liquidity sources post-Brexit. SIGMA X MTF is central to ensuring we achieve the best execution for clients today. The launch of the European MTF will continue to deliver these execution benefits to all clients," said Liz Martin, Global co-Head of Futures and Equities Electronic Trading at Goldman Sachs.

SIGMA X Europe MTF will accept all European-based MiFID II regulated firms. Subject to regulatory approvals, it will launch listing European symbols across 15 markets, while the UK MTF will continue to list both UK and European symbols.

 

About SIGMA X MTF:

The UK-based SIGMA X MTF was launched in 2011 and is a market-leading multilateral trading facility operated by Goldman Sachs International Bank. As the second largest Periodic Auction in Europe, SIGMA X MTF offers deep and diverse liquidity, crossing flow from both external participants and the Goldman Sachs International franchise.

About Goldman Sachs:

The Goldman Sachs Group, Inc. is a leading global financial services firm providing investment banking, securities and investment management services to a substantial and diversified client base that includes corporations, financial institutions, governments and high-net-worth individuals. Founded in 1869, the firm is headquartered in New York and maintains offices in London, Frankfurt, Tokyo, Hong Kong and other major financial centres around the world. To learn more, visit www.gs.com.

September 17, 2020

Record Market Share on SIGMA X Periodic Auction in Q3'20

SIGMA X Auction market share has continued to grow, reaching a new record of ~12% market share in Europe in Q3'20.

 

 

Key Statistics:

>   Uncrossing rate of 99%

>   3100 symbols in the universe across DM & EM

>   Average fill size EUR 6.9k vs Average across all Periodic Auctions EUR 4.1k (Rosenblatt Let There be Light Aug'20)

>   Average LIS fill size EUR 445.2k

Source: SIGMA X MTF Jul - 16th Sep'20

 

Please contact GSSigmaXMTF@gs.com for further details

July 27, 2020

New Markets Live on SIGMA X MTF: Czech Republic & Hungary

SIGMA X MTF has expanded its product universe to incorporate emerging markets, starting with the Czech Republic and Hungary. With 3100 instruments now listed across 16 European markets, SIGMA X anticipates that this addition will aid members in their ability to execute these typically more volatile instruments within the benign environments of SIGMA X Auction and Non-Displayed books.  

 

Since the launch of these markets late-May, there has been positive uptake. The average Auction size on Czech Republic and Hungary has been EUR 20.7k and EUR 8.8k respectively, surpassing the average auction size across all SIGMA X markets of EUR 7.5k.

 

Data Source: SIGMA X MTF 27th May - 24th July 2020

 

Members have continued to leverage the SIGMA X market data to facilitate LIS trading. On average, the Hungary and Czech Republic Auctions increase in size by 45% and 30% respectively as a result of new orders joining during the Auction Call, with the largest trades executed at EUR 49.2k and EUR 113.6k respectively.

 

 

Data Source: SIGMA X MTF 27th May - 24th July 2020

 

 

For further information on how to access SIGMA X MTF, please reach out to GSSigmaXMTF@gs.com

June 04, 2020

Record Trade executed on SIGMA X MTF Periodic Auction


On 27th May 2020, a new record trade was executed of $24.1 million within a single Auction Call. Members utilised the market data feed to monitor for changes in the indicative volume, with the trade size increasing from $1.7 million at Auction initiation to $24.1 million at Auction uncross.

 

As members increasingly leverage the liquidity signals available in the market data feed, SIGMA X MTF continues to see the number Auctions resulting in an LIS trade increase.  Growing by approximately 37% between Auction Initiation and Uncross, the average LIS trade size on SIGMA X MTF is $374.2k (2020 YTD).



For further information on how to capture this addressable liquidity on SIGMA X MTF, please reach out to GSSigmaXMTF@gs.com

 

Data Source: SIGMA X MTF October 2019 - May 2020

September 10, 2019

Goldman Sachs selects QuantHouse to accelerate market data distribution from its SIGMA X MTF European platform

Providing on-demand access via the qh Ecosystem store

QuantHouse, the global provider of end-to-end systematic trading solutions including innovative market data services, algo trading platform and infrastructure products and part of Iress (IRE.ASX), today announced that Goldman Sachs's SIGMA X MTF market data will be readily accessible from within the QuantHouse API Ecosystem store.

SIGMA X MTF is a multilateral trading facility operated by Goldman Sachs (GS), offering deep and diverse liquidity on the basis of non-discretionary crossing with flow from external participants and the Goldman Sachs franchise. A recent analysis performed by GS of SIGMA X MTF auction activity identified that there is often a surplus of unexecuted liquidity in most periodic auctions. SIGMA X MTF's own Periodic Auction Book, the second largest periodic auction book in Europe by volume traded, publishes indicative auction quotes. This market data is now available via the Quanthouse API and can be used to identify auctions, unveiling potential untapped, addressable liquidity.

Available as part of QuantFEED which normalises and disseminates market data for more than 150 feeds globally, SIGMA X MTF market data increases the scope of venues and data available to QuantHouse's community. The qh API Ecosystem store connects over 300+ buy-side firms and investment banks to solutions provided by other buy and sell-side firms, execution venues and technology partners. Connection to the Ecosystem is managed by QuantHouse via a single API, making access to these services quick, efficient and cost-effective.

"QuantHouse is constantly monitoring the market for new API-based providers to improve and enrich the scope of the offering within our qh API Ecosystem store," says Stephane Leroy, Chief Revenue Officer and business co-Founder, QuantHouse, "Our store acts more and more as a "Netflix kind of" portal for the API user community to source advance solutions. We are happy to now offer Goldman Sachs' SIGMA X MTF market data to our client base across the globe."

Paul Brennan, Chief Operating Officer SIGMA X MTF at Goldman Sachs, comments, "SIGMA X MTF continues to meet the needs of our clients as transparency develops in the equities landscape post-MiFID II. We are pleased to work with QuantHouse to offer broad-based distribution of our market data via the qh API Ecosystem store. We think the QuantHouse community will benefit from accessing SIGMA X MTF market data, offering the opportunity to identify high quality liquidity to help improve trading and execution outcomes."

ENDS

About QuantHouse

QuantHouse provides end-to-end systematic trading solutions. This includes ultra low latency market data technologies with QuantFEED, algo-trading development framework with QuantFACTORY and proximity hosting and order routing services with QuantLINK. We help hedge funds, market makers, investment banks, brokers and trading venues achieve optimal trading performance, develop and integrate new trading strategies, comply with regulatory requirements, test existing and new trading infrastructure tools and rationalize operating costs.

The "QuantHouse API Ecosystem" is a unique global initiative with the objective to provide the framework within which capital markets participants can quickly and easily gain access to multiple trading venues, technologies or applications through standard APIs. The QuantHouse API Ecosystem has developed over time to what is now the largest API ecosystem community of buy- and sell-side participants, exchanges, prime brokers, trading venues, hedge funds, market makers and other financial services partners and vendors.

QuantHouse is part of Iress (IRE.ASX), a technology company providing software to the financial services industry. Iress' software is used by more than 9,000 businesses and 500,000 users globally. More information is available on www.iress.com.

For more information, please visit quanthouse.com, follow us on Twitter @quanthouse or visit our LinkedIn Page.

About Goldman Sachs

The Goldman Sachs Group, Inc. is a leading global financial services firm providing investment banking, securities and investment management services to a substantial and diversified client base that includes corporations, financial institutions, governments and high-net-worth individuals. Founded in 1869, the firm is headquartered in New York and maintains offices in London, Frankfurt, Tokyo, Hong Kong and other major financial centres around the world. To learn more, visit www.gs.com.

April 24, 2017

SIGMA X MTF - Future Liquidity Landscape and New Orderbook

Dear members,

SIGMA X MTF will continue to operate its Reference Price orderbook post the introduction of MiFID II.  Given the changing equity market liquidity landscape post MiFID II, SIGMA X MTF are pleased to announce the addition of a unique and innovative orderbook. The SIGMA X Auction Book will offer full price discovery within the bid and offer spread satisfying the demand for liquidity outside of LIS and central limit orderbooks.  With up-front price determination, price / broker (optional) / size / time prioritisation is used to calculate the auction price which is fixed for the call phase. Price certainty and volume discovery is created during the auction call since orders received in this period benefit from time only prioritisation.

The key features of the SIGMA X Auction book are as follows:

- Intra-day auctions are triggered when opposing orders cross in the orderbook. 

- Full price discovery within the bid and offer spread. Pricing is calculated at the beginning of the auction call and is then held fixed until the auction uncross.

- Price / broker (optional) / size / time prioritisation for orders that contribute to price discovery and trigger auctions.

- Time based priority for orders received during the auction call.

- Anti-gaming measures for pricing protection.

- MiFID II compliant.

- Regulatory non-objection granted.


The SIGMA X Auction Book will operate under a new segment MIC allowing members and data vendors to differentiate between the SIGMA X Auction Book and the pre-existing SIGMA X Reference Price book (SGMX).

The new orderbook will be available to trading members in the test environment in July with a full go-live later in Q3.  An orderbook market guide and order entry/market data technical specifications will be distributed shortly.

Please reach out to the GS SIGMA X MTF team if you have any questions (GSSigmaXMTF@gs.com, + 44 207 051 4710).


Regards,

Sigma X MTF Team.

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