• May
  • 24
  • 2006
  • 9:47 AM

When does an order not auto-ex?

By: Ray Pellecchia
File Under: NYSE

A reader writes in response to this post:

So when does an order not autoex?

There are several circumstances in which an order will not auto-execute:

· When it's a non-marketable limit order;

· When the order is delivered "verbally" by a broker in the floor crowd;

· When there's a better bid or offer in another market (this will be addressed in Phase III by auto-routing to the best price);

· When the best bid or offer is 100 shares;

· When the order is priced more than 5 cents away from the last sale; (this filter will be replaced by Liquidity Replenishment Points in full hybrid);

· Other than trading in Lucent, limit orders above 1,099 shares, market orders and tick-sensitive orders will not auto-ex, and orders that are marketable beyond the NYSE best bid and offer will only auto-ex to the extent of the NYSE best bid and offer. In full Hybrid, auto-ex will apply in all those situations.

Thanks to one of my HBCs (Hybrid-building colleagues, remember?) for helping with the information for this one.

Comments

why does an order not auto execute against a 100 share best bid or offer?

by anonymous on May 24, 2006 12:51 PM

Ray, will the Hybrid be fully rolled out by the summer time? Also, once fully rolled out will the NYSE make adjustments in the system if need be. Thanks.

by tony dey on May 24, 2006 9:12 PM

Yet another HBC e-mailed me to point out that orders that are sized greater than the bid or offer will not auto-ex beyond the bid or offer. That functionality will be introduced in Phase III, this fall.

by Ray Pellecchia on May 25, 2006 1:55 PM

On the question from anonymous above:

One-hundred-share quotes are generally a sign of a locked or crossed market or some other anomaly. Currently, we turn off auto-ex in such situations and post a 100-share bid or offer to call the market's attention to it, and give the auction an opportunity to address it. In Hybrid Market Phase III, we will implement auto-routing to the best price at the top of book in any market, as well as sweeping, and there will no longer be a need to suspend auto-ex in these instances.

by Ray Pellecchia on May 26, 2006 8:37 AM

On Tony Dey's question above:

At this point, we anticipate virtually all of the significant functionality will be delivered between now and the fall. After that there will be some additional features introduced to make us fully Reg.-NMS compliant. And we're already made some significant changes along the way in response to customer input and will continue to do so, both during and after the implementation.

by Ray Pellecchia on May 26, 2006 8:43 AM

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