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Product LoginMonday, July 8, 2013
Options Trader Alert #2013 - 37
PHLX Introduces Acceptable Trade Range Protection
Markets Impacted:Contact Information:
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What you need to know:
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What is being announced?
Effective Thursday, July 18, 2013, NASDAQ OMX PHLXSM (PHLX®) will introduce Acceptable Trade Range Protection (ATR) for orders and quotes. The implementation of ATR will be complete on Thursday, July 25, 2013.
What is Acceptable Trade Range Protection (ATR)?
ATR automatically sets dynamic boundaries that limit the prices at which an order or quote can execute. If an order or quote is priced through a boundary price, the order will execute at prices at or within the boundary price. If the order is not fully executed at those prices, it will post at the boundary price for a short period of time to allow the market to refresh before continuing to execute at more aggressive prices. The posted order is available for execution at the boundary price during this short refresh period. Interest on the opposite side of the market during the short refresh period will be displayed as "non-firm".
Is ATR optional?
No, ATR will be automatically applied to all orders and quotes for all participants. However, participants may opt to have their orders/quotes cancelled after the order/quote triggers an ATR rather than having the order/quote continue to execute at more aggressive prices.
What are the ATR boundary price settings?
All system settings for PHLX are available in the PHLX systems settings document.
How does ATR affect Quote Exhaust?
Quote Exhaust occurs when a quote has been fully exhausted by an incoming quote or order. When a Quote Exhaust occurs, PHLX posts residual quote/order interest at the exhausted price level for a short period of time to allow the market to refresh before continuing to execute at more aggressive prices. After the short period of time, the residual interest is posted at an Acceptable Range price from the exhausted price level. Currently, once the residual interest has been posted at the Acceptable Range price for a period of time, the order is cancelled back to the entering participant.
With the introduction of ATR, quotes or orders which trigger a Quote Exhaust process will no longer be cancelled back to the entering participant. After the Quote Exhaust process, the residual quote/order will be subject to ATR with the Acceptable Range price of Quote Exhaust becoming the reference price for subsequent ATR boundary calculations.
Are there any technical changes required for ATR Protection?
There are no changes required to be afforded ATR Protection. ATR will be automatically applied to all orders and quotes for all participants. However, participants should verify no changes are required in order to receive an Order Reject Reason Code of '18' over the FIX Interface. An Order Reject Reason Code of '18' will be utilized when an order is cancelled due to ATR.
Where can I find additional information?
- Refer to the Complex PHLX System Settings page on the NASDAQ OMX Trader® website.
- Refer to the FIX Specification document.
- Refer to the SEC approval.
- Contact NASDAQ OMX Transaction Services U.S. - Derivatives at +1 800 846 0477 (Option #2).
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