I actually saw that in WMT yesterday too. It is good to hear you got the price improvement because that was what was scary. That was a huge move in WMT, but was weird because you got all the prints with the bid/offer not changing then the gap, so it was harder to anticpate that move instead when they move the quote first and then print it. Then again I don't think we are seeing everything yet because we don't have the liquidity quote yet.
You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
NYSE liquidity quote/effects on price improvement?
- Thread starter cornholetrading
- Start date
I actually saw that in WMT yesterday too. It is good to hear you got the price improvement because that was what was scary. That was a huge move in WMT, but was weird because you got all the prints with the bid/offer not changing then the gap, so it was harder to anticpate that move instead when they move the quote first and then print it. Then again I don't think we are seeing everything yet because we don't have the liquidity quote yet.
i am surprised more guys arent talking about this? i havent seen or heard anything yet clarifying how price improvements will be handled...it sounds like to get this quote you will have to pay for openbook
Quote from Ron In-a-sauna:
i am surprised more guys arent talking about this? i havent seen or heard anything yet clarifying how price improvements will be handled...it sounds like to get this quote you will have to pay for openbook
The rule has been that for the specialist to clean up the book he has to give any traders with orders in the market that same print.
I haven't seen anything so far saying this is going to change with all of the above threads. In fact the example a few posts above with WMT seems to say it still works.
I doubt you will have to pay for Openbook to receive price improvement. If you have orders above/below the market to short/buy and there is a gap you will participate with the gap. If you don't have orders in the market you won't. It's the gifts for adding liquidity to the market and one of the reasons I love the NYSE way of trading. I 've never liked how I couldn't participate when a Market Maker in NASDAQ negociates with somebody to do a large order away from the market and I can't participate in that print.
Quote from rtharp:
The rule has been that for the specialist to clean up the book he has to give any traders with orders in the market that same print.
I haven't seen anything so far saying this is going to change with all of the above threads. In fact the example a few posts above with WMT seems to say it still works.
I doubt you will have to pay for Openbook to receive price improvement. If you have orders above/below the market to short/buy and there is a gap you will participate with the gap. If you don't have orders in the market you won't. It's the gifts for adding liquidity to the market and one of the reasons I love the NYSE way of trading. I 've never liked how I couldn't participate when a Market Maker in NASDAQ negociates with somebody to do a large order away from the market and I can't participate in that print.
I think you are afraid of the same thing I'm afraid of, and I'm afraid it's going to happen. Even if the rule you cited stays the same, there is still a way around giving you the price improvement you deserve: When a arge order comes in, the specialist will partially execute it against each of the small orders sitting there, in sequence, so that none of them get price improvement.
At least that's what I have experienced these past few days. In some rare instances you still get a penny or two, but most of the time there just is no big print anymore, but rather several small ones. And actually, I have seen a situation where the inside bid/offer remains unchanged even after a large block trade, which indicates the exact thing you described about Nasdaq.
You still get price improvement in say, WMT, but not near as much as you used to. When the market gets wild, as it did friday morning with the bin laden rumor, I got out of longs in the big prints at the 50 cents and the dollar above. When things are wild, the specialist is doing things as he always has. But during and avg day, when I would usually get price improvement, I have been passed over, then filled at my limit price, then watched him immediately print through me where I should have been improved to. I appears that they are giving the price improvement to the big orders crossing and taking liquidity, not those of us who are allready on the book providing liquidity. This type of fills really turns me off of NYSE trading if it gets worse.
Another thing that bothers me is in the past, if the specialist wants to gap the bid and print a big order, he would actually change his quote price and print the order within his bid-offer spread. Now he isn't even changing his listed quote. He will print where ever the hell he wants to without giving any kind of indication. Two examples both from yesterday morning on wmt. Right after the bell it had a down move, I was short the 90 and 85, bidding the 77 as his bid was the 75. I got printed at the 73, which was nice price improvement I thought since he was still shoeing a bid of 75. Then within 15 seconds, he started printing the 60, still with his bid at 75. The second part of my order I had bid at 70 and never got the improvement at 60. I actually never got out until he brought his offer down to I believe the 66.
Second example, I am long around the 15-20 cents when the binladen news comes out. ( I don't remember the exact price). The specialist slowly moved up to the 27 offer, printing next to nothing on the move up. I wasn't offering at all because I was waiting for him to gap his price up as he usually does. He starts printing blocks at the 50, when he is still at the 27.
This is a huge problem in my way of thinking, because he doesn't have to honor his quotes at all anymore. I got no shares from the specialist on the news, which is nothing new anymore. The bastard doesn't give out any shares when you want them for the last 2 months. The only reason I get shares on this is because I crossed up 15 cents from the get go and picked off ecns and regionals before they knew the news. I put out 34 damn orders all the way up into the 40s and got 500 shares total all from networks beside the nyse specialist. Allowing them to print outside their published bid-offer spread allows the ass holes to back away and never honor their quotes if they want to. This is a major problem in my book whether you get price improvement or not. You will still get some fills from price improvement and it will allow you t be happy, but that one time you are wrong, and you cross the limits on the book and get no shares because he doesn't have to honor any quotes, it will hurt.
Go back to my first example. What if you were long the 75, the prick specialist is bidding the 75, you see him printing the 73 so you try to bail, you see my bid at 70 so you cross to like the 68 to make sure you get it, but instead of him printing anything on his book, he starts printing the 60 and you are out 15 cents when you should have only lost say flat to 5 cents. Second example: You are short on the futures pullback before the Binladen news, say the 20-25. He is offering the 20, you cross up 15 cents to get out when the news hits, his offer raises to 27, but you think you should still get out because you are crossing that way up, and BAM, he is printing the 50, and then pulling to the even dollar. You are very screwed because he doesn't have to honor anything anymore.
Sorry for the Ramble, this just pisses me off.
Another thing that bothers me is in the past, if the specialist wants to gap the bid and print a big order, he would actually change his quote price and print the order within his bid-offer spread. Now he isn't even changing his listed quote. He will print where ever the hell he wants to without giving any kind of indication. Two examples both from yesterday morning on wmt. Right after the bell it had a down move, I was short the 90 and 85, bidding the 77 as his bid was the 75. I got printed at the 73, which was nice price improvement I thought since he was still shoeing a bid of 75. Then within 15 seconds, he started printing the 60, still with his bid at 75. The second part of my order I had bid at 70 and never got the improvement at 60. I actually never got out until he brought his offer down to I believe the 66.
Second example, I am long around the 15-20 cents when the binladen news comes out. ( I don't remember the exact price). The specialist slowly moved up to the 27 offer, printing next to nothing on the move up. I wasn't offering at all because I was waiting for him to gap his price up as he usually does. He starts printing blocks at the 50, when he is still at the 27.
This is a huge problem in my way of thinking, because he doesn't have to honor his quotes at all anymore. I got no shares from the specialist on the news, which is nothing new anymore. The bastard doesn't give out any shares when you want them for the last 2 months. The only reason I get shares on this is because I crossed up 15 cents from the get go and picked off ecns and regionals before they knew the news. I put out 34 damn orders all the way up into the 40s and got 500 shares total all from networks beside the nyse specialist. Allowing them to print outside their published bid-offer spread allows the ass holes to back away and never honor their quotes if they want to. This is a major problem in my book whether you get price improvement or not. You will still get some fills from price improvement and it will allow you t be happy, but that one time you are wrong, and you cross the limits on the book and get no shares because he doesn't have to honor any quotes, it will hurt.
Go back to my first example. What if you were long the 75, the prick specialist is bidding the 75, you see him printing the 73 so you try to bail, you see my bid at 70 so you cross to like the 68 to make sure you get it, but instead of him printing anything on his book, he starts printing the 60 and you are out 15 cents when you should have only lost say flat to 5 cents. Second example: You are short on the futures pullback before the Binladen news, say the 20-25. He is offering the 20, you cross up 15 cents to get out when the news hits, his offer raises to 27, but you think you should still get out because you are crossing that way up, and BAM, he is printing the 50, and then pulling to the even dollar. You are very screwed because he doesn't have to honor anything anymore.
Sorry for the Ramble, this just pisses me off.
I've been looking into this, and there may be something else going on besides liquidity quote testing. Apparently the NYSE has been having some quote problems where quotes are getting 'locked up' and specialists are having to print first to 'unlock' the quote so they can adjust it. This was told to me after market on Fri by another trader at my firm who talked to our ops team, who had talked to the NYSE. Has anyone else got any info to the same effect?
Sounds like the typical bullshit response you would get from the nyse when they are screwing you. At least it is a new response, the one they alwasy give me is "trade ahead"., Oh, or the time they told me that I was first in the book, I should have got the print, but the specilist sent my order to a regional exchange since it was a penny better price. If I want to send my damn order to a regional, I will. Thanks for the alternat reason of why the wmt specialist is acting like a dick. If that is the case, there is no reason this is not fixed yet, as this has been happening for several months. If it is a tech glitch, it should be fixed right now, so I think they are blowing smoke up your friends ass.
Quote from Lobster:
I have seen a situation where the inside bid/offer remains unchanged even after a large block trade, which indicates the exact thing you described about Nasdaq.
I hear a lot of traders complain about the NYSE yet because anybody who has an order in can participate in that block print I feel it has advantages. Taking this away will really suck.