Interesting take on the tick pilot, maker taker and the trade through rule. Institutional investors unhappy with tick size pilots 17 October 2017 | 1790 views | 0Source: Greenwich Associates The U.S. Securities and Exchange Commission should consider ending the failed Tick-Size Pilot in small-cap stocks early to free up time and resources for other experiments in equity market regulation, such as the proposed Access Fee Pilot Program, stock exchange “speed-bumps” and reforms or even the removal of the Order Protection Rule (OPR). That is one key takeaway of a new report Investors’ Take on Market Structure Issues—2017 from Greenwich Associates. The report presents the findings of interviews with 52 U.S. buy-side equity traders about changes in market structure. Tick-Size Disappointment Institutional investors view the Tick-Size Pilot as a failure. The two-year test program was launched by the SEC in 2015 with the hopes of increasing market liquidity. Almost one-third the traders feel so negatively about the tick-size pilot that they think it should be discontinued immediately. “It’s time to clear the deck of the tick pilot in order to focus on other topics,” says Richard Johnson, Vice President of Market Structure and Technology at Greenwich Associates and author of the new report. Speed Bumps If anyone thought the matter of “exchange speed bumps” was settled when the SEC approved the speed-bump equipped IEX last June, they were mistaken. That decision approved the IEX’s use of a coil of cable that introduces a 350 microsecond delay on orders going into and out of their matching engine said to take away the speed advantage of high frequency trading firms. Other exchanges, including the Chicago Stock Exchange have proposed variations on this approach. Currently, the market is divided, with three-quarters of traders in favor speed bumps, but 30% supporting the IEX model only. “This is not even a close call,” says Richard Johnson. “If regulators have decided that speed bumps are a permissible part of market structure, then other exchanges should be free to implement their own versions, subject to regulatory approval.” Maker-Taker Pricing Two-thirds of the equity traders in the Greenwich Associates report believe that “maker-taker pricing” creates distortions and is bad for market structure. In maker-taker pricing typically a rebate is provided to participants for adding liquidity to an order book and an “access” fee charged for removing liquidity. Many buy-side traders also think regulators should go farther and ban rebates altogether. Order Protection Rule: An Obsolete Requirement? When it came into force in 2005 as part of Reg NMS, Rule 611, or the Order Protection Rule (OPR), was very popular. Today brokers and institutional traders employ sophisticated algorithms and smart order routers, venue analysis and other analytic tools making this Rule unnecessary. Removing OPR could reduce complexity, fragmentation and the benefits of speed, while opening the door to innovative products. “We believe the OPR is likely obsolete,” says Richard Johnson. “We would be supportive of a pilot which could quickly assess the effect on liquidity and execution performance.”
SEC is a waste of money and resources. It'd probably be pretty painful to see what type of inept oafs work there.
Tick pilot is an abomination, stillbirth. Market makers tested their power and the stupidity of SEC, they got a confirmation that SEC really is that corrupt/gullible. Maker-taker model is another failure as it's a complete illusion, the quotes you see in front of you don't mean much. Prices will trade through your limit orders just like that. Just today I was hitting the bid after-hours, should've been an instant fill but what happened? price magically pulled away every time. I tried it a few more times just to make sure I could believe my eyes. Orderly market? more like a sick joke. I defended SEC before but now I think they have failed. Why am I paying SEC fees? what for?
Having the bid slip isn't an SEC issue - SRO issue and your broker should have protected you. Sounds more like your broker is doing a bang-up job. Did you have your broker go back and claim a fill?
As I said, I tried the order 3 or 4 times. Every time I cancelled the "ghost" order came back, as I placed it back it moved away again. No way it could've been stale. I wanted to video it but after 2-3 minutes of this, the price didn't move to my level any more. This is the craziest thing I've seen yet.
Bang up job by your broker. What's the old joke about the definition of insanity? Doing the same thing over and over and expecting a different outcome.
It is still possible that it was a quoting error by IB, rather than an actual bid. There is no way the bid would be able to react to your order that quickly. The simplest explanation is a quoting error. If you give me the symbol and time I can look it up on time and sales and see what the best bid was at the time.
I already did that, it's there, I didn't imagine it. I suppose it could've been a quoting error but based on the evidence, I still do not see how. I think in HFT world, reacting that quickly is common. SMART routed it to one venue, HFT picked it up and moved their bid on the slower one. What's impossible about it?