
December 20, 2019
Dear Manager,
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
- 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 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
- 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 / NBO | Percentage Away From the NBB / NBO |
Up to and including $25.00 | 10% |
Greater than $25.00 up to and including $50.00 | 5% |
Greater than $50.00 | 3% |
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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