A New Approach to Stock Market Execution

The Financial Markets Group of the Federal Reserve Bank of Chicago has a keen interest in frequent batch auctions as a potential tool to diminish the utility of raw speed in executing trades on electronic financial markets. The Chicago Stock Exchange has received approval from the Securities and Exchange Commission to launch an innovative variant of batch auctions, the CHX SNAP auction. This article describes the CHX SNAP auction concept in great detail. If commercially successful, the CHX SNAP auction would allow institutional traders to leave hidden resting equity orders at the CHX out of the vision of digital traders who might otherwise attempt to profit from such knowledge.