4 ms·
For more clarification: Reg NMS is a regulation specifying that, if you want to buy a stock at price X, you must buy all shares available on all open markets (1
by consz 13y ago
For more clarification: Reg NMS is a regulation specifying that, if you want to buy a stock at price X, you must buy all shares available on all open markets (13 of them at the moment) at all prices better than X (and similarly for selling). The justification here is that if you are offering to sell at a price below X, you should have priority over anyone willing to sell at prices above or equal to X, allegedly to support price-time priority even across unconnected exchanges.
Reg NMS is enforced by either having to listen to all 13 exchanges through a direct access feed, or through the consolidated UQDF (in the case of tape C stocks) feed. While a single exchange may go down, the UQDF feed serves as a backup for both privileged market participants and the general public, alike. Although I don't believe there is any definite rule in such a case, the UQDF feed being down eliminates both the backup for some firms and the primary feed for others, so Reg NMS may not be complied with -- this is why trading was shut down.
- minimax 13y agoThis is a good description. I just have a couple of issues. "you must buy all shares available on all open markets (13 of them at the moment) at all prices better than X" This is almost correct, but not quite. The protected quote is only the price at the top of the book. For example, let's assume we want to buy something and we only have quotes available at BATS and Direct Edge. Lets say BATS is showing an offer of 500 shares at 10.00 and Direct Edge is showing 100 shares at 9.98 and another 100 shares at 9.99. If I send a routable order to buy 200 shares to BATS, they only have to route 100 shares to Direct Edge to hit the protected quote at 9.98. The remaining 100 shares can be immediately executed against the BATS quote at 10.00. At least that's my understanding of the order protection rule. "While a single exchange may go down, the UQDF feed serves as a backup for both privileged market participants and the general public, alike." When a single exchange goes down (or quotes are significantly delayed), other exchanges will declare "self-help" against that exchange which effectively means quotes from the troubled exchange are no longer protected. I've never heard of anyone using CQS/UQDF as a backup.
- consz 13y agoCQS/UQDF is standard as a failover feed for HFT firms, at least ones I've worked at. You're right about how Reg NMS works for IOC's. For DAY orders, you must clear all shares at all prices equal to or better than X (in your case, you must be all shares on EDGA/EDGX at both 9.99, 9.98, AND 10.00).
- Kranar 13y agoNah the poster above you is right for all cases. Reg NMS only protects the top of book quote regardless of the time in force specification. Source is page 140 of the following SEC publication on Reg NMS: http://www.sec.gov/rules/final/34-51808fr.pdf http://www.sec.gov/rules/final/34-51808fr.pdf "Over our dissent, the majority voted to adopt Regulation NMS on April 6, 2005, approving a trade-through rule protecting quotations at the ‘‘top of book.’’"