Understanding Tapes for NYSE

Discussion in 'Order Execution' started by danjos, Aug 18, 2005.

  1. danjos



    I am a puzzled to read this times and sales information especially with regard to NYSE stocks. Using Esignal times and sales window, we can see that there are various exchanges participating in the bid/ask and prints.
    For examples:

    and another one THRD.

    Does anybody know what THRD means?

    And can we actualy see the best ECN quotes on this level1 times and sales or is it already represented as THRD?

    ANother questions what execution platform that would allow you to hit this regional exchanges as I often see big bid and asksize but unable to execute at better prices on these exchanges . And who is usually trade on these regional exchanges?

    It would be nice to have some sort of NX order to hit these exchanges. It would be interesting next year when NYSE plans to incorporate more direct executions.

    Thanks for any insight or info


    arca can get to them, but be careful many of the regionals can hold your order and screw you
  3. Under THRD in Esignal you get Island, i think Brut, propriatary Ecns like Millenium, Schwab, Knight, etc. You also see delayed insitutional orders for big amounts. You can't hit any of those those since they are off the floor trades between financial institutions. Same with the third exchanges. They are highly iliquid and you will rearly get hit.

    Take care
  4. Danjos,

    THRD represents the best quotes available, on NYSE and AMEX listed stocks, from the so-called "Third Market", which consists of NASDAQ market-makers quoting through NASDAQ's Super-Intermarket (SIM).

    Some NYSE securities are quoted by INET via SIM, but other NYSE securities are not, and are instead quoted by INET through the National Stock Exchange (NSX), which is displayed by E-Signal by a different id than THRD. Ask E-Signal support, or check E-signal documentation, in order to find out the appropriate symbols for the NSX and the other exchanges displayed on E-signal.

    You CAN always take advantage of SIM (that is, THRD) quotes as follows. If you see a THRD bid (or ask) at the inside, which you want to hit, then send a limit order, priced at the same price as the quote you want to hit. You stated that you can't send it directly to THRD, so here is what you do instead. YOU SEND THE ORDER TO NYSE. The NYSE will then use something called the Intermarket Trading System (ITS) to execute your order against the THRD market quote which you are matching.

    Many, if not most NYSE securities quoted via SIM (THRD), are executed immediately and automatically by SIM. If you are trading one of these securities, eligible for immediate auto-ex, then I believe you will receive essentially immediate automatic execution, even if you route your order to SIM thru NYSE.

    If anything I said was incorrect, I hope somebody will correct me.

    Good Luck!
  5. Oh, and by the way Danjos,

    I forgot to mention that you can also hit regional exchanges by routing through NYSE, using the same technique I described for routing to SIM (THRD) via NYSE.

    Good Luck!
  6. mnx


    I believe that is the case from what I understand about the NYSE and how executions are routed but in practice when I sent limit orders at the same price the specialist will just keep them until I get a fill from someone else on the NYSE or the original quote is gone...

  7. mnx,

    without doing any research, and speaking just off the top of my head, it sounds like your experiences are deliberate violations of NYSE rules by the specialist, and that they are also part of a criminal scheme by the specialist.

    Perhaps somebody more knowledgeable about NYSE rules and laws could throw some light on this question. And mnx, why you don't tell us exactly which securities were involved, and exactly how long was your order held before the matching contra quote went away?
  8. I have seen this a billion times in my short trading career. If i route to the specialist at the limit price of where a regional exchange is listed and he is a cent higher/lower, he always lets the order sit there or waits for someone to come up and fill it. I always wondered how regionals actually got filled given i can never hit them and NYSE always fills me.
  9. danjos


    I actually found out something interesting these few quiet days.
    By using BRUT and ARCA and designate them as PROACTIVE, I can hit these non-NYSE quotes. Also, you can use SIZE and hit this regional quotes.

    But the interesting questions is whether BRUT and ARCA proactive would also be able to hit THRD?
    Or whether SIZE would be able to hit BSE, MSE or other regional exchanges? Would appreacite if anubody else has any further insights on these.

    If you only use limit or even limit NX directed at NYSE, I am sure you (at least in my executions) will not get the quotes at the regional exchanges. SPecialist will only fill your orders from NYSE even it comes at worse prices at a much later time.