Registered: Jul 2009
08-16-12 02:26 PM
Auto Ex is the normal order type.
Order Delivery is only available to ECNs (like LAVA) that use NSX to reflect their own books quote onto the exchange to meet their public quoting requirement.
NSX is currently the only US exchange that offers this feature. The ISE stock offered it before they were merged with EDGE, and the old Nasdaq SuperMontage offered it. I *think* LAVA is currently the only ECN that uses it.
The other choice for an ECN to put its quote on the public SIP is the FINRA ADF, but due to performance and cost, order delivery is seen as a better choice.
Basically a visible order to an ECN will light up on the ECNs proprietary book feed, and the ECN will forward the order to NSX in order delivery mode.
If the ECN executes the order locally, it cancels the delivery order.
If NSX wants to execute the delivery order, it has to confirm (electronically) that the order still exists with the ECN to avoid double filling when there is a "race" condition (simultaneous fills on the ECN and Exchange).
The ECN has to guarantee that they will confirm and cancel in timely manner (as few milliseconds) to avoid stale quotes on the exchange.