In response to the increasing demand for liquidity at auctions, Euronext introduces the Auction Volume Discovery (AVD) order type for equities, to help market participants easily source additional liquidity currently untapped during auction periods.
Euronext AVD orders in a nutshell:
- Send non-displayed Auction Volume Discovery orders during the trading day
- Trade at the official opening auction or closing auction price without contributing to its determination process
- Capture the untapped auction imbalance after the regular auction process occurred
- Benefit from greater opportunities for block trading by trading against other AVD orders without price impact
- Leverage the unchanged price determination process at auction
- Access untapped auction imbalance, not available via MTFs, considering that Euronext auction imbalance accounts for 6% of auction volumes, equivalent to over €200 million daily untapped liquidity (average daily auction imbalance in 2024)
- Secure your strategy - AVD orders and their imbalance are not published, preventing any information leakage.
At the opening or closing auction uncrossing, Auction Volume Discovery orders will first match against the auction imbalance. The remaining AVD orders will then execute against other AVD orders. Any unexecuted AVD order will expire at the conclusion of the respective auction.
