Anyone know if supermontage will eliminate the nas L2 as we now know it? My impression was that instead of L2, we'll have that little supermontage box that you see on the nasd web page when you view the demo. Is this correct?
L2 will not change. However, super montage does have an aggregation feature that will display the total depth from the first five levels of prices, which will be new to some traders. However, RealTick has had this feature implemented already for at least a year, so its nothing new really.
It looks like Level 2 will be exactly the same,except now the Level 2 will have an additional participant known as SIZE.If you have the totalview feature,this is an example of what you might see according to the Nasdaq website...http://nasdaqtrader.com/trader/hottopics/mdd/totalviewdisp.pdf
For those that don't know, under Super Montage a MM can elect to display an order on L2 under the generic alias of "SIZE", so nobody will know where the order is coming from. I assume this is Nasdaq's attempt to provide MMs with an internal ECN that provides anonymous liquidity, therefore competing with the existing ECNs.
In addition,SIZE will also allow MM's to use the reserve size feature.Sometimes i wonder why MM's use their identifier and SIZE(once Supermontage rolls out)to place bids and offers,when ISLD and INCA rebate more than Nasdaq for providing liquidity.Anyone?