From Steven Poser in Strategic Analysis and Statistics:
NYSE Arca’s proprietary market order algorithm, attractive rebates for posting liquidity, in combination with market order interaction with two special order types, differentiates NYSE Arca from other markets.
From Todd Wilemon::
With two months left in 2009, it is amazing what has taken place. Under the leadership of Ed Boyle, Senior Vice President of US Options, and with the support of the entire organization we have been setting goals and ruthlessly executing our plan to become the places to trade options both electronically and via open outcry.
From Todd Wilemon: A Tracking Order is a limit order that is not displayed and only activates to trade when certain specific conditions are met. Tracking Orders allow you to always trade on the NBBO or National Best Bid or Offer while also giving you the ability to choose the size of orders you will interact with and at a price range of your choosing.
Trading in a box? A 360 is kind of like a week's blogging in a box. And then some.
“This is an example of NYSE Euronext and the industry working together to develop a positive solution to address the lack of understanding regarding the extent and nature of ‘dark pool’ trading, which has been a concern for regulators and legislators.” -- Joseph Mecane, NYSE Euronext’s Executive Vice President and Chief Administrative Officer for U.S. Markets
"I think what's unique is the market model that's different. I think we have an ability, I view it as a real-time lever, where we've got a floor, we can intervene human judgment, and no other all-electronic marketplace can. Even our own all-electronic marketplace. We run the NYSE Arca platform that's all electronic to compete with the other all-electronic markets like Nasdaq, like Direct Edge, like BATS." -- Duncan Niederauer
From Todd Wilemon -- Excellent news from the SEC: they just approved the expansion of the penny pilot program for options. The SEC has approved adding another 300 of the most actively traded, multiply listed options classes to the Penny Pilot Program.
Woo-hoo!
"Being smarter and faster than your competitors, whatever your business, has been a guiding principle of companies worldwide for decades. So why are these ideas suddenly thrown out when it comes to high-frequency trading models that have been around for nearly a decade?"
"...[W]e believe it represents the best balance between restrictions and operability, and would therefore promote public confidence without unduly inhibiting legitimate short-selling."
From Todd Wilemon: PNP+ Complex guarantees the sender price improvement over the screen markets, without a Price Improvement Auction. It will never interact with leg markets.
From Todd Wilemon: ALO orders never take liquidity, neither on Arca, nor by routing to an away exchange. Like all of our innovative order types, the ALO is designed to give you the power to control how you interact in the marketplace on NYSE Arca.
From Steven Poser: Spreads have narrowed since Reg. NMS implementation for the highest-volume stocks, where high-frequency trading tend to be more prevalent.
Plus, an interesting historical tibit for today, remembering back to when the market sailed the high seas just before it sunk to the bottom.
Larry Leibowitz, our group executive VP in charge of U.S. Markets and Global Technology, spoke with CNBC earlier today to clarify the issues and our position concerning "flash" orders, high-frequency trading and co-location of servers.
Media coverage continues to grow on the issue of certain marketplaces holding up orders and giving certain members a look at those orders before they are executed.
NYSE customers are experiencing trade executions and reports within five milliseconds, as well as order and cancellation acknowledgments in just two milliseconds. "For the first time on NYSE, customers can employ the benefits of competitive speed and automation in addition to our longstanding value of high-touch price discovery on the only U.S. exchange cash equities trading floor," says Lou Pastina, executive VP of NYSE Operations.
As I always say, may we never need to consult these procedures, but here they are, just in case.
Hey, a trivia question: How many shareholders were there in the U.S. in 1952?
a) 650,000
b) 1 million
c) 6.5 million
d) 16 million
Read on for the circuit-breakers and the trivia answer.
From Todd Wilemon: As of July 1, 2009, NYSE Options will no longer charge a facilitation fee to firms who facilitate their customer order flow. We are eliminating the fee for firm facilitation of customer orders. It’s going to zero. Yes, the price is FREE on both exchanges!
In case you missed it: tomorrow is the quarterly expiration of stock and index options and futures. The second quarter is drawing to a close.
Where does the time go?
While you're pondering that, here's an Information Memorandum (is there any other kind of memo? -- I mean, can there be a memorandum without information, aren't we being a little redundant?) about procedures you might want to freshen up on in connection with the expiration.
"If you do it fast and electronically, it's OK, and, if humans do it on the NYSE floor, they get prosecuted," Brown says.
From Todd Wilemon: NYSE Arca has filed a proposal with the SEC to expand the penny program to the top 300 most-actively traded names. This would cover about 75 percent of the daily option trading volume. We have also proposed extending the pilot through 2010. We feel this is the right way forward, giving participants the true bid/ask spread while providing the marketplace with complete transparency.
As our letter says, NASDAQ and BATS are seeking "to:modify their respective routing strategies to provide preferential treatment for their own market participants before routing orders to away markets" and "provide non-public order information to a select class of market participants at the expense of a free and open market system."
Our market structure has gone astray, Larry Leibowitz told an industry market-structure conference this week; time for everyone to step up and engage in the dialogue about solutions before the opportunity passes.
In addition to concerns about price discovery and accurate trade reporting, Brigagliano targeted indications of interest sent between dark pools as another potential concern for regulators.
From Todd Wilemon: Well without further ado, I give you are newest order type. Drum roll, please! Please put your hands together, off your seat and on your feet, Ladies and Gentlemen I give you the …”WAIT Order!”
Flashing orders to a select group, even if the group is not limited by the market center's rules, runs contrary to other regulations, though, said Jamie Selway, managing director at White Cap Trading and former chief economist at Archipelago, one of the pioneering ECNs.
From Dave Weiss: Additional systems work has improved NYSE Arca's response times from 2 milliseconds to under 1 ms. And we're not done yet.
The average size of NYSE's quote improved to 1,381 shares in March from 771 in August 2008, a 79% increase. In the top 100 issues, quoted size surged to 13,440 shares on NYSE from 4,030 in November.
That's one bit of news from our U.S. Equities newsletter. More after the jump.
From Todd Wilemon: Your favorite options trading platform that provides you with immediate, cost-effective electronic order execution will now be able to handle buy writes, delta neutral single-leg option orders (tied to stock or ETF), married puts and reversal conversions. This functionality is available for every issue listed on the NYSE Arca options platform.
Larry Leibowitz, our group exec VP in charge of U.S. Markets and Global Technology, is scheduled to be on Bloomberg TV at 9 a.m. today to talk about restricting abusive short selling.
Here's an excellent example of how the customer gains a very real and direct benefit from our having multiple markets and products under the NYSE Euronext umbrella.
Deeper liquidity, more accurate price discovery, broader participation, all at one of the most critical times of the trading day.
"The Commission can, we believe, adopt a similar but simple, effective and more
prohibitive Short Sale restriction that takes into account how equity trading has changed
over the past several years since the original Uptick Rule was eliminated."
Three items of particular interest in the March Traders Magazine
I actually don't know if today's rally had anything to do with talk of restoring some version of the "uptick rule," which is a restriction on short selling in downward-moving markets. Correlation, causation, who cares -- I'll take today's rally and leave the analysis to the experts.
There still are some people regarded as experts, yes?
Four bits of news today from these parts.
"Every year, roughly 5,000 bills are introduced, while a few hundred pass, he added. DeFazio's hope this time is that the tax becomes part of the Ways and Means conversation about how to recoup the TARP funds. 'I am throwing it into the mix,' he said, 'but I have no expectations.'"
Duncan: "If the question is, 'Would people think it's a fairer game if we had an uptick rule?' the answer is 'Yes.'"
"It would decimate liquidity in the market in an unprecedented way," my boss said.
But what Mr. Ratterman doesn't say is that he's making an apples-and-oranges comparison. BATS trades NYSE-, NYSE Amex- and Nasdaq-listed issues, while NYSE trades only NYSE-listed issues. Let's look at the real, apples-to-apples comparison.
To me, all of these changes -- ranging from lower latency for low-touch trading to enhanced capabilities for high-touch trading -- demonstrate that NYSE Euronext is continually looking to hone our diverse platforms to serve our diverse customer base. The global marketplace is becoming ever more competitive, and NYSE Euronext is becoming more competitive right along with it.
NYSE Arca's FIX gateway offers access to eight NYSE Euronext platforms.
Even though the NYSE Arca Auctions trade millions of ETF shares every day, this recent feat is worth notice. As the leader in ETF liquidity and listings, NYSE Arca is also a source of block liquidity using NYSE Arca Auctions.
ArcaDirect is NYSE Arca's lowest-latency order-entry platform.
Plus, results for December 2008.
One of his key points: Using transparent, regulated markets to bring more sunlight and liquidity to opaque, less regulated securities would be preferable to writing reams of new regulations.
And Jay Leno names the Ponzi scheme.
And which would you prefer: Pottersville or Bedford Falls?
NYSE Euronext registered increased trading activity on U.S. cash equities and options exchanges in November and strong year-to-date volume gains across all its global multi-asset platforms.
Plus: One very dark day in rock-music history.
This is an important decision that enables the exchanges to bring data products to market in a streamlined and competitive manner. The SEC worked long and hard to get to the right answer. The winners will be data-consuming customers and the public in addition to the exchanges themselves.
We've changed our system to be able to recognize sub-penny prices at which other markets might quote those stocks, so we can route to those markets if appropriate, as required by Reg. NMS if another market posts a better price.
We've been hearing a lot of rumors of a market closure or delayed opening opening today. All untrue. Opening Bell will ring at 9:30 a.m. as usual.
We've also been hearing the question, "What are the circuit-breakers again?" So just for reference, and with the fervent hope we won't need them, here is a link to our clock graphic, and an explanation of how they work.
Here is welcome news for the trading community: "The major exchanges, in the wake of trading snafus in recent weeks, vowed to work together to craft and synchronize policies targeting error trades."
For example, if an auction occurs at $1.20, and you have entered an order to pay $1.20 or greater, or a sell order priced at $1.20 or less, and these orders do not participate in the auction but trade as part of an auction imbalance during sweep, you will trade for free.
"That will give the competing markets a chance to refresh their top-of-book prices, thereby preventing customers from executing at wildly different top-of-book prices."
When the water runs low in the stream, you see the rocks at the bottom. In the absence of euphoria, we see things as they really are. In stock markets, neither high-tech nor high-touch is perfect all the time, which is why having a combination or choice of the two is valuable.
And instead of my usual Today in History feature, here's a look at the future: we announced last night that we completed the acquisition of the Amex. Here's the press release, and an excellent .pdf recounting Amex's history. Welcome aboard, new colleagues.
I don't intend this to diss electronic markets. Again, they did exactly what they were designed to do, and that's exactly what some people want markets to do. But I do intend to underscore something that is often misunderstood and misstated: The real struggle in markets is not man versus machine; it is machine versus man-with-machine.
There is a clear difference between NYSE Euronext and Nasdaq OMX, as illustrated last Friday, and that difference is choice for issuers and their investors and traders, and that difference is people. Even in this day of automation, choice and people really can and do make a positive difference.
On the same subject, we're doing a Webcast to our listed issuers today about the SEC's order and its implications for the market, featuring our CEO Duncan Niederauer and Rick Ketchum, CEO of NYSE Regulation. It's available for anyone to tune in.
"Consistent with the NYSE understanding of SEC Short Sale Rule and upon advice from the SEC, the NYSE will conduct a normal close today for its securities. NYSE expects its Specialists to close their securities using standard closing procedures."
This Trader Update has the additional names, even in a handy Excel spreadsheet. Separately, on the historical trivia front: greetings from the New Jersey Stock Exchange.
We just issued a Trader Update with the latest on the SEC's short-sale order, including the addition of 31 issues.
I was on the trading floor at the open today, and it felt like it hadn't felt in months -- more people, more intensity, a lot of capital being put to work. I've got to tell you, it felt good. I don't know if it was the quarterly expiration, the market rally, the news on short selling, the news on a federal solution to the financial crisis, or some combination of these. It wouldn't surprise me if today's participation by the trading floor in NYSE volume is again markedly higher than in the recent past.
Plus, on this day in 1873: Cooked.
Here's the scoop on how our Complex Order Book will work, starting in the first part of August.
The SEC's action is is not a final approval, but it is a big step forward. It's been a long process, but it's leading to the right result for investors.
Mid-Point Passive Liquidity orders offer price improvement, better fill rates and now, attractive rebates for active customers.
Plus, to lift the heart a bit on a Monday morning: the sun lifts the rain in veils of mist, and a photographer in my town captures it.
...and says better connectivity between dark pools and exchanges is the best solution. Which is exactly what we're trying to do.
Transaction growth across the board and across the Atlantic. Plus: numerical trivia, weekend edition.
On an afternoon when the Yanks' Opening Day got rained out, a bit of good news.
So says Tabb Group CEO and founder Larry Tabb, quoted in a brief Securities Industry News article with the wonderfully succinct headline, "Equity Venues > 55."
So much for the NYSE-Nasdaq duopoly you read so much about a couple of years ago. Competition appears to be more alive and well than ever in the equity markets.
Cloud is not the official name, and in fact the initiative doesn't really have a name, but I like the word because in this case, it fits. Orders that don't get matched within NYSE Arca are routed through this cloud of dark indications on their way to going out to another market. If they find a match in the cloud, they save time in terms of latency and have an opportunity to get price improvement. They also have a better opportunity to get filled. So in terms of liquidity, I hope this dark cloud is a rainmaker for you.
Forgive me.
"-- Increased potential for filling orders;
-- Potential for price improvement;
-- Extraordinary access to liquidity with 29 confirmed participants, comprising the largest collection of non-displayed liquidity pools available in the market;
-- Access to 3 1/2 times the number of routing destinations offered by the nearest competitor."
An update: NYSE Arca traded 2.8 billion shares yesterday, a new record. ArcaBook recorded an all-time high 670 million updates. Arca processed 47.4 million orders, believed to also be a record.
"By trading more of their Tape C [Nasdaq] volume on NYSE Arca, customers will reduce their net rate by 80% to $0.0001/share."
Morituri te salutamus.
Leave it to Art Cashin -- a classic himself -- to come up with a classic reference in a historical language. Not up on your Latin? Translation and some Crash of 1987 reflections after the jump.
...and other links for 27 Sept. 2007.
Here's a comparison of NYSE Arca fees for Tape C (Nasdaq) stocks vs. those other guys. OK, no mystery as to who wins, but we're just saying.
Plus, from the archives: Ike (and the market) suffer an attack; and Her Majesty's a pretty nice girl.
NYSE Arca Options has consistently offered the best price FOUR TIMES MORE OFTEN than any other market center for options that are included in the SEC’s penny pilot program.
I don't have the full report, but judging from the chart, it looks to me like the marketplace closest to the optimal "good prices and fast" is none other than NYSE Arca.
