d-Quote Guidelines and Closing Procedures for Trading Today

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’

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

Communications Team