LRP info for stocks

T

trader56

Is there a place for finding the Liquidity Refreshment Points and their method of calculation for individual stocks?

Did a search here - lots of debate about the Hybrid, etc, and the NYSE site is a giant pain to navigate.

Would just like some basic info on how to figure out where these things are for stocks, and how the specialist uses them.

Thanks for any and all constructive help!
 
Quote from tradingmonkey:

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

ywia
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Thank yuo for yuor help!

Now, let's suppose we have a stock that trades over 4,000,000 shares daily and is in the $10-25 price range.
The chart shows the LRP to be .20.

Is this every .20 starting from $10 up to $25?
So LRP's would be at $10.20, $10.40, etc?

Thanks again!
 
An LRP is an upper and lower price range boundary defining a reasonable market movement or trading range, periodically
recalculated through the trading day. For stocks priced between $10.00 and $25.00 that trade over 4,000,000 shares average volume any $0.20 intra day price movement would trigger LRP and the market will convert to auction pricing only (U quote, Slow quote mode). This allows the specialist to supplement liquidity and respond to the stocks volatility.
 
Again, my thanks for yuor help!

So it doesn't matter how this .20 move occurs - can be over the course of a week, day, few seconds, or any timeframe?
 
Quote from trader56:

Again, my thanks for yuor help!

So it doesn't matter how this .20 move occurs - can be over the course of a week, day, few seconds, or any timeframe?
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No. What happens is every 30 seconds, the LRPs are calculated 20 cents away from the inside market, on both sides. If within those next 30 seconds, the market trades to either LRP, then the specialist will temporarily take over and "match any imbalances." He gives himself a good fill. If you're SUPER QUICK SUPER SUPER QUICK and you can beat the algos you can get printed with him. Anyways, most of the time the stock won't move 20 cents in either direction, and if it moves only 15 cents in 30 seconds, since every 30 seconds the LRP values are recalculated, the stock now mus move another 20 cents away from the inside market before an LRP will be triggered.
 
Quote from trader56:

Thanks again, Monkey and NYOB.

I read this:
http://www.nyse.com/pdfs/hm_booklet_Cp_5.pdf

The explainations from yuo guys make a hell of a lot more sense!

At least one person has said the answer to this is to use much longer timeframes, which, given this info, seems like a good idea.
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LRPs don't really keep any daytrading strategies from working. if anything, they encourage more add-liquidity mean reversion bots, bots which inevitably leave free money on the table for savvy daytraders when there is real panic and the extreme move isn't a fade. It also makes it easier to get your out, I think, since it makes people disinclined to sweep the books for more than the LRP levels. I trade on the shortest of timeframes and the existence of LRPs is, if anything, a little bit helpful to my profitability; it's certainly not detrimental.
 
When exactly do these 30 second intervals occur? At the beginning of the minute? If I wanted to track where these levels are I'd need to know the point of reference. Do all stocks use the same point? Or is it from each individual opening NYSE print?

Seems to me like plenty of $50-100 stocks during the day move more than 25 cents within a 30 second timeframe. Am I missing something?
 
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