June 22, 2018

d-Quote Guidelines and Closing Procedures for Trading Today

Dear Sales Team,

This is a reminder that we are expecting higher than normal volume today, Friday, June 22, 2018, for the Russell Reconstitution. Thus, we would like to bring the d-Quote order guidelines, NYSE closing procedures, and MOC/LOC cutoff times for Tape B and C names 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
  • d-Quotes 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
  • d-Quotes will be executed on a best efforts basis only
  • d-Quotes 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

  • 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 1 million shares.  

Rule 123C call for interest:

  • Please note the following characteristics:

    • 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 & 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, unexecuted volume will convert to a d-Quote at 3:59:44 for the close providing the end time is set to 4:00 pm. The same applies to POV and NBBO Peg Fill on Close strategies.  

  • 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 4:00

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

  • d-Quotes will execute on the opening or intra-day re-opening if entered beforehand

  • Benchmark Strategies that convert into d-Quotes can be canceled until 4:00. 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 an 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

MOC/LOC Cutoff Times
Please see this document for the cutoff times for Tape B and C names.

If you have any questions or comments, please create a mojo.

Regards,

Communications Team

*Remember to access our Public Wiki and Knowledge Base to learn more and contribute with our Day Trading community

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