Squawker Plucks EU Quote Data from SIX

London-based interdealer block trade negotiation platform Squawker will use real-time, pan-European market data from Swiss vendor SIX Financial Information to support its price formation calculations, beginning in March, when the venue is scheduled to go live.

Squawker will capture real-time quote data from exchanges and multilateral trading facilities located in 16 countries across Europe via SIX FI’s MDF consolidated market data feed, to support its calculation of consolidated mid-price and end-of-day consolidated volume-weighted average prices (VWAP), which the venue will disseminate to its trading participants.

Squawker began looking for a market data provider to supply quote data for use in its price calculations nine months ago, says co-founder and chief executive Christopher Gregory. “There were only a few providers of a true pan-European consolidated feed, and SIX offered the right combination of cost-effectiveness and quality,” he says, adding that “SIX already had comprehensive coverage—including all the instrument information, as well as the price data,” for all European exchange-listed instruments that Squawker plans to trade, including equities and exchange-traded funds; bonds, warrants and convertibles; swaps, rights, forwards and futures; and currencies, money markets and floating-rate notes.

While Squawker will receive the quote data from SIX FI in real time, it will not stream the real-time prices to its participants, but will instead notify them of the consolidated mid-price or the end-of-day VWAP prices at specific trigger points, such as when a buyer and seller agree to a trade.

“On Squawker, we match counterparties together. We don’t match orders. It’s an introduction between a buyer and seller,” Gregory says. “Users tell us what they would like to buy or sell, and they express their interest in trading at the consolidated midpoint (or at the VWAP), and if both sides agree, we calculate what the consolidated mid-price (or VWAP) is using the SIX market data. Then, if they agree to trade, we use social network techniques to allow them to enter into an anonymous discussion to agree a volume.”

Squawker will connect to SIX FI’s MDF feed via the Radianz financial extranet from telecom and network provider BT, which the venue announced in November will host and manage the technology infrastructure behind its negotiation platform in its datacenters, and will provide brokers with access to its marketplace.

No Block Trade Roadblock
Squawker has already completed the integration of the datafeed into its infrastructure in preparation for the platform’s launch, says Gregory, a former senior executive at Fidessa and chief executive of Penson in Europe, who—along with director of sales and trading Christopher Brazier, who was formerly head of UK sales for global execution at BNP Paribas—founded the venue last year to improve the sell-side’s ability to execute institutional block trades.

“As people have used algorithms to execute trades on traditional electronic order books, the trade sizes have gotten smaller and smaller,” Gregory says. “Squawker is not a high-frequency system; it is designed to run at the speed of human beings. There is no high-frequency or algorithmic trading,” he adds.