The supplemental filing details the rules governing automatic-execution orders, sweeps of the limit-order book, specialist and broker interest files and algorithms, and other features of the hybrid market such as “liquidity replenishment points” – the points at which the auction will have an opportunity to supply liquidity to dampen volatility. Also included are multiple specific examples on how orders will be handled under various trading scenarios.
"Blending the auction market with more automation reflects the Exchange's commitment to our customers and further developing our market," said NYSE CEO John A. Thain. "The hybrid market provides the most compelling array of choices for trading NYSE-listed securities and will allow us to better accommodate the diverse trading strategies of our customers.”
Expanding the NYSE Direct+ Automatic Order Execution Service
NYSE Direct+ provides order execution at sub-second speed and currently handles more than 10% of the Exchange’s average daily volume. The NYSE’s hybrid market will feature the following:
In order to preserve the lower volatility that characterizes trading on the NYSE, sweeps will be subject to specific limits called Liquidity Replenishment Points or LRPs. LRPs are intended to reduce excessive volatility. When activated, LRPs automatically convert the market from electronic to auction trading for one transaction.
In the hybrid market, floor brokers will be able to electronically represent large customer buy and sell orders at the point-of-sale. To assist specialists with market making responsibilities and to maintain fair and orderly markets, proprietary software will allow specialists to automatically supplement liquidity in a fast market environment.
In February 2004, the Exchange submitted its original SEC filing to expand the NYSE Direct+ service. A supplemental filing was issued in August. The NYSE’s latest rule filing and related information are available at www.nyse.com/direct.
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