- May
- 30
- 2008
- 4:19 PM
New Data Products to Enhance Transparency, Speed of NYSE
- By: Ray Pellecchia
- File Under: NYSE
My day job is so busy these days.
[OFF-STAGE VOICES SHOUTING IN UNISON: "HOW BUSY IS IT?"]
So busy that yesterday, I wrote this press release about a couple of cool new data products, and until now haven't had a chance to blog about them.
OK, I know, not funny. But it does happen to be the case. Not that I'm complaining about being busy. That's a good problem to have. But it has kept me away from blogging. Apologies for that. Will try to do better.
Anyway.
Good stuff coming on the data front in the form of two new products, NYSE OpenBook Ultra and NYSE Order Imbalances. The former starts on Monday, June 2; the latter, Tuesday, July 1. A couple-three key points:
• NYSE OpenBook Ultra is a new version of OpenBook that will update with every single new order, with latency of less than a millisecond.
• Ultra also has a new "self-healing" format, which has nothing to do with transcendental meditation or even yoga but is a good thing nonetheless -- it allows for faster and easier recovery in case you somehow miss a data message or messages.
• NYSE Order Imbalances will increase transparency by providing snapshots of order imbalances at the most critical times of the trading day: before the open and before the close. With faster and better information, you can manage your execution strategies that much better.
More details in the press release and the product pages linked above. And I'll be posting an interview on this topic next week.
Until then, have a good weekend, my friends.
Today in NYSE History (NYSE.com):
30 May 1973 -- The twenty billionth share was listed on the NYSE.
That must have been one of the few things to cheer about in the bear-market early '70s.
Comments
Ray,
Not to be a [word deleted], but is anyone complaining about speed around here? Sounds like most people would like more predictable/dependable fills without the low volume, high volatility spikes that seem to be the hallmark of the Hybrid.
Miss me?
-DT
by Dinosaur Trader on May 31, 2008 1:35 PM
DT -- Always good to have you weigh in, no matter what your view. Sorry to have to edit a word there; it was a little strong for this space.
You're right that none of my blog correspondents complains about speed, but people on the desks at our member firms generally don't write in here (though they're always welcome; maybe it's not worth the trouble of dealing with their compliance officers). That doesn't mean they don't exist; they supply the vast majority of our order volume. We know that milliseconds count to them, and we have to get faster to retain their business. Imagine what the volume would be if we lost it!
I hear you on the volatility. At the same time, I don't think it is unique to NYSE; it is symptomatic of electronic trading in a penny environment. Even as we bring forward these changes on the market-data front, we're also pushing ways to get more participation from specialists and brokers on the trading floor, in hopes of adding liquidity and reducing volatility. The data and participation initiatives are not mutually exclusive, or sequential; we're pressing on all fronts at the same time.
I believe I will have some more news soon on the participation front. In the interim, enjoy the rest of the weekend, DT.
by Ray Pellecchia on June 1, 2008 10:15 AM
I think alot of what we see as far as size posted on the Hybrid is false. When you actually try to buy/sell stock they get cancelled and most of the time you wind up with a really bad price versus what was originally posted. It creates a very un-stable market place with wild swings on 100 share prints. I used to use MKT orders all the time but now its basically impossible without getting totally destroyed. Before the Hybrid traders got much better prices and even had a very good chance for price improvement. The NYSE has to fix this problem ASAP in order to bring back real confidence in the Hybrid. As always i appreciate the blog. Thanks
by tony dey on June 1, 2008 9:37 PM
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