LRP calculation

Discussion in 'Order Execution' started by brobiche, Feb 2, 2007.

  1. brobiche


    I am not sure how the calculation for LRPs is supposed to occur each day. Is it from the first New York print or the first print from the 9:30am opening time.
  2. In Chapter 5, there is a table displayed of values that a stock can freely trade at auto quote/execution before a slow market LRP point is triggered.

    I dont understand what the 2 values in the table are for, and what the top 2 rows are referring too. Are the top rows referring to 4mill +, the second rows 500k-4mill, and the bottom rows under 500k?

    Why is there 2 values in each row? (ie. .05 and .10 for stocks under 5 dollars).

  3. Im a little confused on how the LRP works, what exactly happens when LRP is triggered. Can someone explain the LRP in laymen terms?

  4. The respone to this question seems like a bit of a joke actually, according to the manual;

    "– Initially, the lower value in each range will be used to
    calculate the LRP.
    – As the Exchange gains more experience in how securities
    trade in the Hybrid Market, the higher value may be
    used instead."

    so as I read it, the NYSE is saying initially they will use the lower value to determine the LRP to begin with, but as they become 'more comfortable/experienced' with the hybrid, they "MAY" choose to use the higher value, LOL. Just what the specialists need , more ability to change shit around at their discretion. Didn't somebody once say "the more things change, the more they stay the same".

    Then again maybe I am waaaaaay off base with my assessment of the situation:p

  5. I think you may be pretty close with the "more things change, the more they stay the same" comment, in a good way. I didn't really think, that after 200 years, the Specialists would just give up and go away...and, the NYSE has always been known for accomodating "size" orders, and with the manual over-ride function (slow bid, slow ask) seems that they are able to accomplish this.