NYSE liquidity quote/effects on price improvement?

Quote from Ron In-a-sauna:

this new thing might be downright criminal, if you trade WMT you know what i am saying....complete BS today, although i still made money so i am not just crying sour grapes!
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I think I know what you're talking about. Somehow I don't get the fills I used to get, but somehow I'm still making the same kind of money. At least it's not getting boring.
 
Quote from dalegrief:

...I started noticing this in the Broker stocks a week and a half ago, they are definately harder to trade now. I heard a rumor back then, that it was new specialist software that tracks the futures, probably the e-minis, and links it with their bid ask. This is what feels like is happening. the bid ask will be
40.10 x 40.15 with size 40x45 and the minis will tick up a point and suddenly the bidask is 40.20x40.22 with size 35x50. There will be no print of the 40.15 size, he just changes the bid ask. It really makes entering stocks impossible, and then with the issue of not getting price improvememt, and prints outside the bid ask out of nowhere, which I also have noticed, it makes me think Nasdaq time, or maybe futures?...
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I noticed this as long ago as 10-25-02

http://www.elitetrader.com/vb/showthread.php?s=&postid=145019&highlight=NYSE#post145019

Scroll down to paragraph five.

BTW, at that time I had not had access to OpenBook for too long.

nitro
 
Quote from mixer:

I think the more efficient the market becomes, trading (scalping) will become inherently more difficult.

I think the risk of scalping is becoming to great, the easy scraps just aren't there anymore.
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Actually this is kind of my feelings too. The nasdaq scalpers that I knew who still traded nasdaq really got hurt with supermontage rollover because the market became more efficient and took away one of their main advantages at being superior order routers. It seems that NYSE is kind of going that way too with the liquidity quote and how they handle orders and this talk of the automatically updating quotes which align with the futures. If a large part of your strategy depends on price improvement and having to get filled right on the inside quote then it can be some rough waters ahead.

I am glad this thread started to pick up since I started it. I have had a few of those fills or should I say non fills of stocks where they print huge size outside the inside quote yet do not fill my limit order. I would say business as usually (they would say stock ahead) except that at least before I had some idea a print was coming becaues they would have to move the spread first. I can only hope that it only seems like a shafting because they are in test mode and that down the road we will be given the proper info of where these prints might occur with this second quote.
 
This is some info I got. Anyone have any insights into this?

What is happening is the Inside Market that everyone sees for all the stocks being tested is actually being updated by the computer (this is what is going to be called the best quote). The specialist is working his quote which is a snapshot of the market a specific time. After the specialist matches all the trades from the previous snapshot he will take another snapshot and start matching those trades. However, the computer will always
update the best quotes while the specialist is putting prints together. This is why it looks like your price has been traded through before the trader gets the execution. In the past orders were held in queue until the specialist was finished putting prints together from a snapshot and then the quote was refreshed. Now the best quote or inside market is constantly being
updated while the specialist is working on putting prints together. The best quote will almost always be updating faster than the specialist can match prints.
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You tape readers out there, how do you see this affecting your style of trading?
 
Well I think it is hard to tell right now because we are not seeing this second liquidity quote. Right now it makes the inside quote pretty much ass and quite useless for the most part. Before they would move the spread so you would have an idea when a print was coming. Now a lot of times they throw up the print with out the quote changing so it can catch you totally off guard. Sucks because you might be blowing out of a trade while he is working on this big print because the quote is not reflecting where he is going to print the stock. Maybe when we see the second quote we will have an idea of where they might do a big print. That might lead to more orders being sent out and canceled while you are fishing for these cleanup print orders.

The big area of concern will be how price improvement is dished out. I am finding sometimes I am being included in these outside prints and sometimes I am not, where I am just filled at my limit price. It would be nice to have the rules of how orders will be filled in more details, because right now I can't see when a large print will occur and I don't know if I can get filled on it or not.

While I am on the soap box I would like to say that it seems to be kind of unfair to the traders for the NYSE to test a system out without providing all the tools for the traders to see what is going on by not providing the liquidity quote while they are testing it out. They are testing this system out with a lot of other peoples money at the moment.
 
I don't know about NYSE, but I do trade some obscure AMEX stocks and the last month has sucked large, probably because they got thier primitive little hands on that auto-update software that's been mentioned.

Nothing good lasts forever.
 
What irratates me is that they are doing all this right now when volume is lower than I can remember, and it is hard enough getting the shares you want with the lack of liquidity. Now it is harder because there is no rhime or reason to where the specialist will print or not. Why are they using these computers to automatic update? How will this help them? They were able to handle all the volume during the bull run, now that it is a third what it was they have to start screwing with a good system to make a more "orderly" market. What a load of crap. Once these pricks start screwing with a good system, they usually ruin it. Look at what the nasdaq has turned into.
 
"The best quote will almost always be updating faster "

That would be the best explanation yet. I've received conflicting info from the NYSE itself on quote/execution adjustments, and this snapshot system seems to fit well with what I've seen. I've had a difficult time though trying to discern how this is gonna change anything, as it's been implemented into an uncommonly thin market (I hope this volume is still uncommon) I think we won't have a good picture until we see this new liquidity book, and we get back to a 'normal' (post mideast resolution) market..that is if there is such a thing as a normal mkt.
 
Preach it brother, I couldn't agree more. I can only think they fear the ECN's, and that they believe this is a competitive step to keep any volume they have now. Thing is, I gotta imagine a good % of the institutional vol these days is done off the floor with increasingly sophisticated ATS's, and most prop/pro traders I know aren't to keen on the idea, so you're gonna force us to scale down (potentially) so all that leaves is Joe Public, the guy that harasses the NYSE everyday about bad prints. I can't imagine though that Joe Public makes up a significant portion of the daily vol.

BTW-does anyone have numbers on how much we prop traders do? IE how many shares bright/echo/andover etc...do on a daily basis?
 
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