Vol 5 No 32
EXCHANGE TECHNOLOGIES
NYSE’s Depth Quote a ‘Booster Shot’ for Volume
NEW YORK--The New York Stock Exchange expects that its forthcoming order-display program, informally called "Depth Quote," will be a high-volume "booster shot" for Institutional Xpress, the Network NYSE order-delivery system for lots over 15,000 shares, says president Robert Britz. Still, no capacity changes will be made to NYSE hardware because the number of messages will be small, far below NYSE’s capacity to handle 2,000 to 3,000 messages per second through the CAP (Common Access Point), the gateway to Network NYSE, the exchangeeffort to create a comprehensive range of market data and trading products.
"Our highest five-minute burst ever recorded was 1,400mps," says Britz.
The program, complementing NYSE’s existing limit-order book display, Open Book, will launch this fall (Inside Market Data, Jan. 28).
Britz declines to provide volume predictions for Institutional Xpress resulting from Depth Quote, but notes that 99 percent of the exchange’s orders--55 percent of its volume--arrive electronically.
Depth Quote appears to be the realization of NYSE’s efforts toward creating more transparency in a high-volume, low-spread market forever changed by decimalization.
"An institutional trader is not necessarily interested in a 100-share lot at the best price," Britz says. "But right behind that could be a 10,000-share order at the next price point. This is the first time customers can see a ‘size’ order for less than the best bid. We’re trying to recreate where we were in size orders before decimalization."
NYSE is writing code that can pull the inside quote off the book with a default algorithm, with the specialist working the point of sale (floor booth) responsible for showing the depth quote of his choosing, "without sacrificing the retail [small-lot] quote [at the national best bid and offer]," Britz says. The exchange is making every effort to replicate the keystrokes that floor specialists already use to contribute to the order books.
Customers have the option of splitting large orders, sending the largest orders directly to the floor via Dot or the Broker Booth Support System, sending medium-sized orders via Institutional Xpress, and sending small orders below 1,099 shares through NYSE Direct+.
Most of NYSE’s quote display systems are on HP Unix boxes, while much of its order-processing and switching is done on Compaq Tandem mainframes.
Daniel Safarik
