NYSE Enhances MOC/LOC Handling for All Customers

By: Ray Pellecchia

File Under: NYSE

• 0 Comments
• Email Entry

On Friday we notified customers of an initiative designed to attract stabilizing liquidity to NYSE-listed issues with significant imbalances at the end of the trading day. Excerpt:

Currently, NYSE systems reject every order entered after 3:40 PM with an MOC or LOC instruction attached, whether the order is offsetting a published imbalance or adding to it.

Beginning Monday, Dec. 22, 2008, the Exchange will accept all MOC and LOC orders entered after 3:40 PM that are on the contra side of a published regulatory imbalance of 50,000 shares or greater. Currently, regulatory imbalances are posted at 3:40 PM, with an update at 3:50 PM. NYSE systems will also reject all cancel requests sent after 3:40 PM for any previously entered MOC and LOC order, including orders that were entered to offset a previously published imbalance.

In preparation for this order enhancement, on the weekend prior to the Dec. 22 launch, the Exchange will disable the current MOC and LOC blocks that member firms had requested to be added to their individual mnemonic profiles. To summarize the change:

Current Functionality
• On an individual mnemonic basis, all MOC and LOC orders entered after 3:40 PM are rejected back to the user.
• No capability to allow offsetting interest into the Exchange systems with this service activated.
• No capability to reject cancel requests entered after 3:40 PM of previously entered MOC and LOC orders.

New Functionality
• Exchange will allow offsetting MOC and LOC orders to be entered after 3:40 PM in issues where an imbalance of 50,000 shares or greater has been published.
• Exchange will block all MOC and LOC orders that join the same side of a published imbalance of 50,000 shares or greater.
• Exchange will reject all orders entered after 3:40 PM in issues where no imbalance is published.
• Exchange will reject all cancel requests for MOC and LOC orders entered prior to 3:40 PM or after 3:40 PM that were entered to offset previously published imbalances.
• All MOC and LOC order acceptance and rejection will be based independently on the two published regulatory imbalances, at 3:40 and 3:50 PM, respectively.

That just makes sense. My question is: now, why didn't I think of that?

Here's the technical notice for you tech and ops types.

Paul Kedrosky, reading in the Journal that the closing hour accounts for 26.2 percent of daily volume in S&P 500 stocks, says he has a better idea: make the timing of the close a "random variable." Thanks for the suggestion, Paul; we'll have to get back to you on that one!

Happy Monday, folks.

Today in NYSE History (NYSE.com)
15 Dec 1886 -- First million-share-day at the NYSE: 1,200,00 shares were traded.

Not a bad day for rock birthdays today, either: Dave Clark of the Dave Clark Five turns 65 and Paul Simonon of the Clash turns 52.