New M-ELO Order Type on Nasdaq, NYSE, and AMEX 

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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 Specifications

  • 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.

M-ELO Statistics

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’

Fee Changes

Please be advised that effective Monday, January 3, 2022, the NYSE American changed their fee, the details of which are identified below.

GatewayLiquidity FlagsDescriptionCurrent FeeNew Fee
NYSE American (AMEX)Start with A except AND, AML and ASBAdd displayed liquidity-0.0024-0.0020
NYSE American (AMEX)ASBAdd displayed liquidity that set a new BBO-0.0026-0.0020

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.