New M-ELO Order Type on Nasdaq, NYSE, and AMEX
DTTW™ is proud to announce the release of the new M-ELO (Midpoint Extended Life Order) on the Nasdaq, NYSE, and AMEX markets Friday, April 13, 2018!
These midpoint orders were sit for a half second before becoming eligible for execution, and only against other M-ELO orders. This gets these orders out of the way of book clearing orders, and allows like-minded traders to trade against each other.
- M-ELO is a non-displayed order type that is priced at the midpoint between the NBBO. M-ELOs will not be eligible to execute until a minimum half second holding period has been met.
- M-ELO orders can only interact with other M-ELO orders, which have also met the holding period requirement.
- The voluntary resting time prior to a match eliminates the ability for market participants to access the M-ELO book just as the market is transitioning to a new price.
- This protects M-ELO traders from negative price impact as the market moves, thus addressing market impact concerns.
- The incorporation of a minimum resting time on a M-ELO order protects traders from rapid market movements and adverse selection.
- M-ELO provides a mechanism where traders can send orders seeking to minimize market impact.
Nasdaq has seen strong growth week over week not only in volume, but also in symbols active/traded, quote stability, and notional.
The following table shows quote stability as a percentage where the quote remains static 1 second following an execution in M-ELO. We have seen this grow to 80%, which, when taking volume/symbol growth into account, highlights the fact that MELO provides protection against book clearing orders while maintaining minimal market impact.
M-ELO activity between March 12 and April 6, 2018. All figures are daily averages.
The following table shows M-ELO’s volume growth over time.
Five-day Simple Moving Average of M-ELO executed volume between March 16 and April 5, 2018.
M-ELO Configuration in PPro8
Your traders can configure the order in Keyboard Setup by selecting the following options:
- Gateway: ‘NSDQ’
- Destination: ‘NSDQ’
- Order Type: ‘Pegged’
- Peg Type: ‘M-ELO’
Remember to tell your traders about this brand-new order type—and trade using M-ELO on the US markets!
For more information, please see the official Nasdaq webpage.
If you have any questions or comments, please create a mojo.