Post by Sapphire Capital on Jul 16, 2008 20:42:18 GMT 4
ATTENTION:
TO: ALL MEMBERS AND MEMBER ORGANIZATIONS
SUBJECT: AMENDMENT OF EXCHANGE RULES 15 AND 123C - NEW IMBALANCE PUBLICATIONS AT OPEN AND CLOSE
I. Purpose
The purpose of this Information Memo is to advise members and member organizations that the Securities and Exchange Commission (“SEC” or “Commission”) has approved amendments to Exchange Rules 15 (Pre-Opening Indications) and 123C (Market On The Close Policy And Expiration Procedures) to allow Exchange systems to disseminate a data feed of real-time order imbalances that accumulate prior to the opening of trading on the Exchange and prior to the close of trading on the Exchange. The text of the amendments is attached as Exhibit A to this Memo.
II. Background
Currently, pursuant to Exchange Rule 15, the specialist publishes a pre-opening price indication whenever the specialist, in arranging the opening transaction in a subject security, anticipates that the price of the opening transaction will be at a price that is different from the previous day’s closing price on the NYSE by more than the “applicable price change.” The applicable price is generally based on the NYSE closing price. Exchange Rule 15 provides five price groupings that establish the applicable price change parameters.1 A separate procedure is outlined in Rule 15 for determining pre-opening indications in American Depositary Receipts (“ADRs”). The pre-opening indication is based on the change in parity between the anticipated opening price of the ADR and the last sale price of the underlying security on the primary foreign .
le 123C (Market on the Close Policy and Expiration Procedures) contains requirements with respect to operation of the Exchange’s market concerning market-on-close (“MOC”) and limit-on-close (“LOC”) orders as well as order entry and imbalance publication requirements.2
III. Rule Amendments
The Exchange has amended Rules 15 and 123C to include Order Imbalance Information as supplemental information that may be disseminated by Exchange systems prior to opening and closing transactions. The Exchange plans to distribute the Order Imbalance Information in real-time at specified intervals (as shown below) prior to the opening and close. The Order Imbalance Information will include the publication time, imbalance side, imbalance quantity, paired quantity and symbol for each security.
Order Imbalances Disseminated Prior to the Open
Order Imbalances disseminated prior to the opening will be disseminated as follows:
• Every five minutes between 8:30 am Eastern Time (“ET”) and 9:00 am EST.
• Every minute between 9:00 am ET and 9:20 am ET.
• Every 15 seconds between 9:20 am ET and the opening (or 9:35 am ET if the
opening is delayed).
The Order Imbalance Information disseminated prior to the opening transaction will include all interest eligible for execution in the opening transaction of the security in Exchange systems. The previous trading day’s closing price on the NYSE in the security will serve as the reference price for the Order Imbalance Information disseminated prior to the opening transaction. This Order Imbalance Information will indicate to market participants the number of shares that would be required to equalize buy and sell interest (i.e. flat) at the reference price.
Order Imbalances Prior to the Close
Order Imbalances disseminated prior to the close will be disseminated as follows:
• Every fifteen seconds between 3:40 pm ET and 3:50 pm ET.
• Every five seconds between 3:50 pm ET and 4:00 pm ET.
On any day that the scheduled close of trading on the NYSE is earlier than 4:00p.m.ET, the dissemination of Order Imbalance Information prior to the closing transaction will commence 20 minutes before the scheduled closing time. Order Imbalance Information will be disseminated every fifteen seconds for approximately 10 minutes. Thereafter, the Order Imbalance Information will be disseminated ever five seconds until the scheduled closing time.
Please note that the data feed containing the Order Imbalance Information is in addition to the Publication of MOC Imbalances pursuant to Rule 123C (5) that is disseminated by the specialist in his or her assigned security at 3:40 p.m. and 3:50 p.m. The Order Imbalance Information will be published through OpenBook, whereas the mandatory publications published by the specialist pursuant to NYSE Rule 123C are included in both the Order Imbalance Information data feed and on the Consolidated Tape. Only mandatory indications published pursuant to 123C control whether a party may enter offsetting interest.
IV. Staff Contacts
Questions concerning this memorandum may be addressed to:
Ronald Jordan, Market Data, at (212) 656-3830
Michael Paulyson, Implementation Planning/Training, at (212) 656-2721; or
Deanna Logan, Office of General Counsel, at (212) 656-6438
_______________________________________
John F. Malitzis
Executive Vice President
Market Surveillance
Attachments
_______________________________________
1 See Rule 15 (a) and (b) for details as to the applicable price change parameters.
2 See Rule 123C for a detailed description of these requirements.
EXHIBIT A
Deletions in [brackets]
Additions underscored
Rule 15. Pre-Opening Indications
*****
(c) Exchange may also make available, from time to time, as the Exchange shall determine, Order Imbalance Information prior to the opening of a security on the Exchange.
(1) Order Imbalance Information disseminated by Exchange systems prior to the opening transaction is the data feed disseminated by Exchange systems of real-time order imbalances that accumulate prior to the opening transaction on the Exchange. Such Order Imbalance Information includes all interest eligible for execution in the opening transaction of the security in Exchange systems.
(2) Order Imbalance Information will use the previous trading day’s closing price in the security on the Exchange as the reference price to indicate the number of shares required to open the security with an equal number of shares on the buy side and the sell side of the market.
(3) Order Imbalance Information disseminated prior to the opening of the security will be disseminated as follows:
(i) Approximately every five minutes between 8:30 am Eastern Time (“ET”) and 9:00 am ET.
(ii) Approximately every minute between 9:00 am ET and 9:20 am ET.
(iii) Approximately every 15 seconds between 9:20 am ET and the opening (or 9:35 am ET if the opening is delayed).
*****
Market on the Close Policy and Expiration Procedures
Rule 123C
*****
(5) Publication of MOC Imbalances
*****
(6) Publication of Order Imbalance Information
(a) Exchange systems may also make available, from time to time, as the Exchange shall determine, Order Imbalance Information prior to the closing of a security on the Exchange.
(b) Order Imbalance Information disseminated prior to the closing transaction is the data feed disseminated by the Exchange of real-time order imbalances that accumulate prior to the closing transaction on the Exchange which includes the same information used in the Publication of MOC Imbalances pursuant to subparagraph (5) of this Rule.
(c) Such Order Imbalance Information will use the last sale in the security on the Exchange prior to the dissemination of the Order Imbalance Information as a reference price to indicate the number of shares that would be needed in the security to close with an equal number of shares on the buy side and the sell side of the market.
(d) Order Imbalance Information disseminated prior to the close by Exchange systems will be disseminated as follows:
(1) Approximately every fifteen seconds between 3:40 pm Eastern Time (“ET”) and 3:50 pm ET.
(2) Approximately every five seconds between 3:50 pm ET and 4:00 pm ET
(e) On any day that the scheduled close of trading on the NYSE is earlier than 4:00p.m. ET., the dissemination of Order Imbalance Information prior to the closing transaction will commence 20 minutes before scheduled closing time. Order Imbalance Information will be disseminated every fifteen seconds for approximately 10 minutes. Thereafter, the Order Imbalance Information will be disseminated approximately every five seconds until the scheduled closing time.
(f) Publication of MOC Imbalances pursuant to subparagraph (5) of this Rule above shall be the sole indication that governs the entry of offsetting interest.
TO: ALL MEMBERS AND MEMBER ORGANIZATIONS
SUBJECT: AMENDMENT OF EXCHANGE RULES 15 AND 123C - NEW IMBALANCE PUBLICATIONS AT OPEN AND CLOSE
I. Purpose
The purpose of this Information Memo is to advise members and member organizations that the Securities and Exchange Commission (“SEC” or “Commission”) has approved amendments to Exchange Rules 15 (Pre-Opening Indications) and 123C (Market On The Close Policy And Expiration Procedures) to allow Exchange systems to disseminate a data feed of real-time order imbalances that accumulate prior to the opening of trading on the Exchange and prior to the close of trading on the Exchange. The text of the amendments is attached as Exhibit A to this Memo.
II. Background
Currently, pursuant to Exchange Rule 15, the specialist publishes a pre-opening price indication whenever the specialist, in arranging the opening transaction in a subject security, anticipates that the price of the opening transaction will be at a price that is different from the previous day’s closing price on the NYSE by more than the “applicable price change.” The applicable price is generally based on the NYSE closing price. Exchange Rule 15 provides five price groupings that establish the applicable price change parameters.1 A separate procedure is outlined in Rule 15 for determining pre-opening indications in American Depositary Receipts (“ADRs”). The pre-opening indication is based on the change in parity between the anticipated opening price of the ADR and the last sale price of the underlying security on the primary foreign .
le 123C (Market on the Close Policy and Expiration Procedures) contains requirements with respect to operation of the Exchange’s market concerning market-on-close (“MOC”) and limit-on-close (“LOC”) orders as well as order entry and imbalance publication requirements.2
III. Rule Amendments
The Exchange has amended Rules 15 and 123C to include Order Imbalance Information as supplemental information that may be disseminated by Exchange systems prior to opening and closing transactions. The Exchange plans to distribute the Order Imbalance Information in real-time at specified intervals (as shown below) prior to the opening and close. The Order Imbalance Information will include the publication time, imbalance side, imbalance quantity, paired quantity and symbol for each security.
Order Imbalances Disseminated Prior to the Open
Order Imbalances disseminated prior to the opening will be disseminated as follows:
• Every five minutes between 8:30 am Eastern Time (“ET”) and 9:00 am EST.
• Every minute between 9:00 am ET and 9:20 am ET.
• Every 15 seconds between 9:20 am ET and the opening (or 9:35 am ET if the
opening is delayed).
The Order Imbalance Information disseminated prior to the opening transaction will include all interest eligible for execution in the opening transaction of the security in Exchange systems. The previous trading day’s closing price on the NYSE in the security will serve as the reference price for the Order Imbalance Information disseminated prior to the opening transaction. This Order Imbalance Information will indicate to market participants the number of shares that would be required to equalize buy and sell interest (i.e. flat) at the reference price.
Order Imbalances Prior to the Close
Order Imbalances disseminated prior to the close will be disseminated as follows:
• Every fifteen seconds between 3:40 pm ET and 3:50 pm ET.
• Every five seconds between 3:50 pm ET and 4:00 pm ET.
On any day that the scheduled close of trading on the NYSE is earlier than 4:00p.m.ET, the dissemination of Order Imbalance Information prior to the closing transaction will commence 20 minutes before the scheduled closing time. Order Imbalance Information will be disseminated every fifteen seconds for approximately 10 minutes. Thereafter, the Order Imbalance Information will be disseminated ever five seconds until the scheduled closing time.
Please note that the data feed containing the Order Imbalance Information is in addition to the Publication of MOC Imbalances pursuant to Rule 123C (5) that is disseminated by the specialist in his or her assigned security at 3:40 p.m. and 3:50 p.m. The Order Imbalance Information will be published through OpenBook, whereas the mandatory publications published by the specialist pursuant to NYSE Rule 123C are included in both the Order Imbalance Information data feed and on the Consolidated Tape. Only mandatory indications published pursuant to 123C control whether a party may enter offsetting interest.
IV. Staff Contacts
Questions concerning this memorandum may be addressed to:
Ronald Jordan, Market Data, at (212) 656-3830
Michael Paulyson, Implementation Planning/Training, at (212) 656-2721; or
Deanna Logan, Office of General Counsel, at (212) 656-6438
_______________________________________
John F. Malitzis
Executive Vice President
Market Surveillance
Attachments
_______________________________________
1 See Rule 15 (a) and (b) for details as to the applicable price change parameters.
2 See Rule 123C for a detailed description of these requirements.
EXHIBIT A
Deletions in [brackets]
Additions underscored
Rule 15. Pre-Opening Indications
*****
(c) Exchange may also make available, from time to time, as the Exchange shall determine, Order Imbalance Information prior to the opening of a security on the Exchange.
(1) Order Imbalance Information disseminated by Exchange systems prior to the opening transaction is the data feed disseminated by Exchange systems of real-time order imbalances that accumulate prior to the opening transaction on the Exchange. Such Order Imbalance Information includes all interest eligible for execution in the opening transaction of the security in Exchange systems.
(2) Order Imbalance Information will use the previous trading day’s closing price in the security on the Exchange as the reference price to indicate the number of shares required to open the security with an equal number of shares on the buy side and the sell side of the market.
(3) Order Imbalance Information disseminated prior to the opening of the security will be disseminated as follows:
(i) Approximately every five minutes between 8:30 am Eastern Time (“ET”) and 9:00 am ET.
(ii) Approximately every minute between 9:00 am ET and 9:20 am ET.
(iii) Approximately every 15 seconds between 9:20 am ET and the opening (or 9:35 am ET if the opening is delayed).
*****
Market on the Close Policy and Expiration Procedures
Rule 123C
*****
(5) Publication of MOC Imbalances
*****
(6) Publication of Order Imbalance Information
(a) Exchange systems may also make available, from time to time, as the Exchange shall determine, Order Imbalance Information prior to the closing of a security on the Exchange.
(b) Order Imbalance Information disseminated prior to the closing transaction is the data feed disseminated by the Exchange of real-time order imbalances that accumulate prior to the closing transaction on the Exchange which includes the same information used in the Publication of MOC Imbalances pursuant to subparagraph (5) of this Rule.
(c) Such Order Imbalance Information will use the last sale in the security on the Exchange prior to the dissemination of the Order Imbalance Information as a reference price to indicate the number of shares that would be needed in the security to close with an equal number of shares on the buy side and the sell side of the market.
(d) Order Imbalance Information disseminated prior to the close by Exchange systems will be disseminated as follows:
(1) Approximately every fifteen seconds between 3:40 pm Eastern Time (“ET”) and 3:50 pm ET.
(2) Approximately every five seconds between 3:50 pm ET and 4:00 pm ET
(e) On any day that the scheduled close of trading on the NYSE is earlier than 4:00p.m. ET., the dissemination of Order Imbalance Information prior to the closing transaction will commence 20 minutes before scheduled closing time. Order Imbalance Information will be disseminated every fifteen seconds for approximately 10 minutes. Thereafter, the Order Imbalance Information will be disseminated approximately every five seconds until the scheduled closing time.
(f) Publication of MOC Imbalances pursuant to subparagraph (5) of this Rule above shall be the sole indication that governs the entry of offsetting interest.