d-Quote Guidelines and Closing Procedures for Trading Today

November 26, 2019

Dear Manager,

Sometimes we can expect higher than normal volume. Thus, we would like to bring the d-Quote order guidelines and NYSE closing procedures to your attention.

d-Quote Order Guidelines

  • On high volume days, extra brokers and handhelds are activated, however the increased flow may lead to a decrease in the number of orders being processed
  • Please get your d-Quote orders in early, preferably no later than 3:55 pm ET
  • Traders are encouraged to send large groups of orders in stages, not all at once
  • Traders are discouraged from sending cancels for any d-Quote order, but if they must, please have them send a straight cancel and replace it with a regular order
  • Do not work in UTP (NASDAQ) names as there are no closes
  • d-Quotes marked short may not execute on the close in SSR triggered stocks
  • Will be executed on a best efforts basis only
  • Will execute on intraday reopenings, if marketable

NYSE Closing Procedures

Size limitations for systemically entered order:

  • 99 million shares to BBSS

  • 99 million shares from BBSS to HHD

  • 25 million shares to Display Book for auction orders

  • 5 million shares maximum for Limit Day Orders

  • Principal interest entered in any of the Display Book reporting templates is also limited to 25 million

Note: orders sent in for auto-ex may not exceed 5 million shares.  

Extreme Order Imbalance

  • Please note the following order characteristics and processing:

    • orders can only be entered from the handheld as e-Quotes or DOT

    • e-Quotes trade on parity

    • can only be opposite side of the imbalance

    • cannot be priced worse (through) than the last sale and must be limited

    • cannot be cancelled once entered

    • orders should be created manually in BBSS

ALGO Strategies Closing Conversion:

All Pragma TWAP, VWAP, Provide strategies are designed to complete before the close. In the event that the order does not complete by 3:59:44, unexecuted volume will convert at that time to a d-Quote for the close providing the end time is set to 3:59:50 pm.

  • d-Quotes and pegging e-Quotes are included in the informational imbalance feed starting at 3:55

  • d-Quotes and pegging e-Quotes entered in any form after 3:59:50 will be rejected

  • They may be cancelled at any time until 3:59:50, please note the new cut-off time also prevents any cancel and replace of d-Orders after 3:59:50

  • d-Quotes will execute prior to the close if the file price becomes marketable

  • Benchmark Strategies that convert into d-Quotes can be canceled until 3:59:50. Cancel and replace orders sent after 3:59:50 will attempt to complete the replacement order prior to 4:00 but will not convert to a d-Quote

Limit Up / Limit Down (LULD)

  • Tier 1 Stocks (S&P 500, Russell 1000, select ETFs) and Tier 2 Stocks (all non-Tier 1 NMS stocks excluding Rights and Warrants)

  • Limit Up / Limit Down Price bands are in effect from 9:30 until 4:00

  • Equities that enter a LULD Trading Pause at or after 3:50 will not be resumed during the regular market hours and will be eligible for a single price close after 4:00

  • If the Equity is not closed by 4:05, UTP will publish a resume message to SIP allowing other market centers to close

Trading Collars

  • New price protection mechanism to prevent the automatic execution of incoming market orders and marketable limit orders outside of specified parameters
  • Prevent buy (sell) orders from executing or routing a price above (below) the upper (lower) Trading Collar
    • Upper Trading Collar for buy interest – percentage away from the NBO
    • Lower Trading Collar for sell interest – percentage away from the NBB
    • Percentages based on CEE guidelines
    • If an order is received outside the price or percentage listed below, the order will reject and the broker will receive a pop stating ‘Price to Far Outside’
Trading Collar Calculation NBB / NBOPercentage Away From the NBB / NBO
Up to and including $25.0010%
Greater than $25.00 up to and including $50.005%
Greater than $50.003%

Market Access Risk Parameters:

  • Review all risk parameters in the e-Broker handheld, with any third party algo and OMS providers you use
  • Default settings for the Benchmarks and d-Quotes are:
    • Max Child Order size = 10,000,000 shares
    • Max Child Order value = $50,000,000

Let us know if you have any comments or questions by creating a mojo.

With thanks,

Communications Team

*Remember to visit our PPro8 Wiki and Knowledge Base to learn more.

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