Adapting to the Hybrid

Quote from Steve Tvardek:

Since COO is a $40 stock, I am sure the LRPs are like .20 so if its trading like it did today (based on your explanation), its def going to be hitting the LRPs quite often and therefore back under specialist control. I dont know for sure but thats my guess.
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Ah ha...That's probably what was going on. This is the first time I traded a $40 hybrid stock, so I forgot that the LRPs must be low. Thanks for pointing this out.

Good job bitstream. I don't know what time you traded it, but when I traded between 9:30 and 9:45, I just got wacked around with no clear move and sucker fills. And by the time it was breakin out later in the day, I was already beaten down, packed up, and sent home..
 
It terrible....the LRP's need to be moved to a higher level........


http://www.nyse.com/pdfs/activated_lrps.pdf

lrp_table.pdf
 
Thank You MC, thats what I was looking for. My gosh, lrp for MA is 25 cents and for COO is 35 cents...What the heck...This is insane. MA is $90+ and it moves 25 cents in a blink of an eye.

Edit: I beleive the LRP numbers change depending on volatility, otherwise it doesn't make much sense..
 
It terrible....the LRP's need their range to be increased ........

http://www.nyse.com/pdfs/lrp_table.pdf

A stock like Newmont falls 3 bucks under the next LRP dollar value range making it 25 cents LRP instead of the current 10. Look at the chart of NEM today and see how brutal the 10 cent LRP rule is for a stock on the edge of the $ value range.

Three 10 + moves in the course of an hour. I was wondering why NEM was gapping so wildly then randomly stalling today. Took this to figure it out ....it was the first day of NEM hybrid. Some tweaking of styles is clearly in order unless people want to drive this stock over 50 bucks to catch the next LRP range...anyone ?
 

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Quote from PinkBunny:

Never (seriously, NEVER) send a market order with hybrid. I've seen some disguisting fills - fills at prices that the market never traded at, even, and that by scrolling through the time and sales make NO sense. Before hybrid, a market order meant you waited a while, watched the price move against you, and got filled at a shitty level while you cursed the specialist. Now you get filled at an even shittier level without waiting.

I suspect it's those new "specialist algorithms" - they're probably much simpler than we imagine. "If market buy order for 1000 shares comes in, fill at best offer price - .15. Deposit $150 in specialist account."
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I don't trade equities very much but sometimes have a chart up of one of these stocks that gets a disgusting fill. But what about the LRP? Doesn't the stock stop at the LRP, which seems to be set tighter than some of these fills that really spike the chart?
 
Quote from JGTrader:

Does the specialist have any control over the inside market when the stock is not at the LRP?

Here is something from the NYSE website stating they can trade through the open book but doesn't say anything about the NBBO

mpact to Specialists
In order to react to customers, specialists will interface with the market through proprietary algorithms that interface with the NYSE Display Book via an NYSE-provided application programming interface (API).
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How can you tell when the stock hits the LRP? Is there a dissemination from the NYSE like a "Halt"?
 
The firm I am at has the LRP's built in to the level 2's so that you can see when the price hits an LRP and the corresponding price action. I dont know this for sure, but in my experience once it hits an LRP the price stalls for like 5-10 secs and then the new LRP is calculated and the stock then resumes electronic trading.
 
1. With this new hybrid, what percentage of NYSE stocks does it affect or is it all? Any link for the list?

2. Now i used to only use NX to swipe the offer when i see more than 100 shares, do i still do this? Or is this all gone and can use normal nyse bid order to hit the offer instant?

3. Share limit size for NX is gone therefore? (1099)

4. LRF orders can you explain, what is this and when do specialists do this? How does it look on the level 2 screen?

5. I have still noticed the specialist gapping up the stock and doign price improvement, or was it becasue it moved up so fast i didn't see it?
 
Quote from narballs:

1. With this new hybrid, what percentage of NYSE stocks does it affect or is it all? Any link for the list?

---Go to www.nyse.com and on the home page there is a link for the hybrid stock list

2. Now i used to only use NX to swipe the offer when i see more than 100 shares, do i still do this? Or is this all gone and can use normal nyse bid order to hit the offer instant?

---NX orders can still be used and market orders too. You can NX pretty much as much as you want.

3. Share limit size for NX is gone therefore? (1099)

---Yes

4. LRF orders can you explain, what is this and when do specialists do this? How does it look on the level 2 screen?

---LRP (liquidity replenishment point) is the point to which electronic trading ceases and the specialist comes in and matches bids and offers. I dont know how it looks on your level 2 but on mine it is labled within the quotes (as if it were an ecn)

5. I have still noticed the specialist gapping up the stock and doign price improvement, or was it becasue it moved up so fast i didn't see it?

---Possibly the stock isnt hybrid, not all stocks have been activated yet.


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Hey on the NYSE page it says market volatility will be severely reduced because of the hybrid system.

Does that mean there will eventually never be a day trading opprotunity again? :(

Serious question...
 
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