Faster and greater information about NYSE openings, closings, imbalances

By: Ray Pellecchia

File Under: NYSE

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My MDDCs (market-data-disseminating colleagues) recently announced two new products designed to give customers faster and greater information about the New York Stock Exchange’s order book and order imbalances, respectively, and also make that information easier to use. Here is an edited transcript of a conversation with one of the MDDCs -- Mark Schaedel, vice president, NYSE Data Products -- about how the products will help the trading community.

Exchanges: Let’s start with NYSE OpenBook Ultra. How is it different from NYSE OpenBook Real-Time?

Mark: Ultra is an answer to customers who need low latency or want more detailed information about NYSE order flows. Ultra provides information about every order that enters or leaves the book. OpenBook Realtime is more of a snapshot of the book taken every second and distributed in real time. Ultra is event driven and updates with each order and distributes each message with extremely low latency -- less than half a millisecond to SFTI [Secure Financial Transaction Infrastucture, our communications network]. We are seeing speeds in the microsecond range, which makes OpenBook Ultra one of the fastest books available, if not the fastest.

Ultra was also meant to conform to the behavior of other markets’ depth-of-book products from a data standpoint. NYSE recognizes the impact of fragmentation on customers, and in a Reg. NMS world, customers’ information needs have changed rather dramatically.

Exchanges: What else is different about Ultra?

Mark: Ultra provides additional information about what happened when something comes off the book. When changes take place today in all the other markets, you just process them and accept them as changes. You may also possibly read the tape to see if the change resulted in a trade. Sometimes those trades are reported late to the tape, leaving some holes in the picture. Ultra makes this task easier by indicating why something left the book -- was it traded or cancelled? -- and if it traded, show the trade link ID, which is a unique identifier that NYSE will begin using in all of our data products. That information is very interesting for people who study order flows and market behaviors. We’re appealing to the quant crowd in that respect.

There’s also this additional timestamp. The same crowd that’s looking at the microstructure of the market is looking at timestamp alignments and when these events actually took place. So we’ve added microsecond resolution and also added these internal timestamps that come right out of the matching engine that show when event actually took place. In most other markets, the timestamp you see on the message is from the outbound side or publishing mechanism.

The other added feature is what we call self-healing. With each new message that contains the order and information about each change, we send the total amount of shares currently bid or offered at that price, so the customer doesn’t have to do that aggregation. We call that self-healing because if you fall behind in your processing or miss some messages, you can pick up very easily by waiting for the next message and reading the current state. This was designed to appeal to all of the various uses of data.

Exchanges: OK, how about NYSE Order Imbalances?

Mark: Order Imbalances provides a great deal more transparency around the opening and closing auctions, which have always been NYSE strong points. Our ability to hold auctions is what our market structure is based on, and what our competitors have been unsuccessfully trying to re-create in their electronic models. Wacky things happen before the open and after the close, but we set the bar at 9:30 and 4. NYSE Imbalances are all about adding transparency to the process which we believe always benefits the customer.

Exchanges: What are these imbalances and how will we disseminate them?

Mark: Prior to an open or close, imbalances are often created by the influx of orders on one side of the market -- the buy or sell side. Today, we distribute those imbalances by rule under certain conditions but only at 5- and 10-minute periods before the open or close. The new messages are distributed every 5 seconds and are always published for any imbalances of significance to customers.

Each message contains the symbol, the size of the imbalance, the side of the imbalance and the quantity that’s paired off. The product is designed to make trading around the open and close much easier and add to the quality of the auctions by attracting more informed participation. More participation leads to better prices.

Exchanges: When and how are these products available?

Mark: OpenBook Ultra is live now. All OpenBook customers are getting Ultra automatically; they don't have to sign up or pay anything additional to get Ultra. Order Imbalances is in testing right now and goes live on July 1. You just have to let your account manager know you want Order Imbalances and it will be added to your OpenBook feed. There are currently no additional fees for either product. The Exchange plans to add a modest fee increase for Ultra along with a simplified fee structure that will lower the all-in cost for customers.

Thanks for your time, Mark. I hope Exchanges readers found that conversation useful. If you did, there will be more Q&As in the future. Your comments are welcome, as always.

Happy Tuesday, folks. On This Day (NYTimes.com), two legends came and went, respectively. Judy Garland was born on this day in 1922 (died 1969); and Ray Charles passed away four years ago today.