New rule on d-quotes starts May 17th

New Rule on d-quotes and e-quotes:

On May 17, 2010, the NYSE and NYSE Amex will implement a change to their rules to provide that d-Quotes and pegging e-Quotes that are entered 10 seconds or less before the scheduled close will automatically be rejected by Exchange systems. Accordingly, on a regular trading day, Exchange systems will reject d-Quotes or pegging e-Quotes entered at or after 3:59:50 p.m.

The Exchange believes that the 10 second cut-off will contribute to a more orderly closing process. This proposed change is consistent with the Exchanges’ ongoing effort to streamline the closing process and enhance transparency at the close, and we believe that designating a cut-off time before the close for the entry of d-Quotes and pegging e-Quotes will contribute to these objectives.


Refresher on d-quotes and e-quotes from NYSE’s site:

Discretionary e-Quotes extend the capability of e-Quotes by introducing additional features that electronically replicate aspects of the more sophisticated types of judgment that floor brokers exercise today on behalf of their customers.

The core elements introduced with Discretionary e-Quotes are pegging and pricing discretion. . .

Pegging allows floor brokers to automatically keep their interest in the quote even as the quote moves.

Floor brokers will be able to turn on a pegging feature and designate a price range specifying a ceiling or a floor price beyond which the discretionary interest will not move with the BBO. As long as the BBO remains within the specified range, the Discretionary e-Quote will be quoted in the NYSE BBO and eligible for automatic executions.

. . .

While pegging keeps interest in the quote, pricing discretion allows quoted interest to actively reach out and initiate trades with opposite-side interest at price points above or below the Discretionary e-Quote’s quoted price.

The quantity of an e-Quote designated to exercise pricing discretion is called a d-Quote. The entire e-Quote can be designated as a d-Quote.

d-Quotes may trade with any size contra-side interest, or the floor broker may set a minimum and a maximum size parameter dictating that the d-Quote will not trade with an order of that size quantity.

And remember back on March 1st, 2010 the closing auction rules were changes, and I include that here as well:

http://blog.themistrading.com/?p=631