Hybrid Phase III pilot: early returns

By: Ray Pellecchia

File Under: NYSE, NYSE

• 2 Comments
• Email Entry

Last Friday, May 12, we started a pilot for Hybrid Market Phase III, in which for one stock (Lucent Technologies Inc.) we changed the restrictions on our NYSE Direct+ automated-execution service. We:

· Expanded the maximum order size to 1 million shares from 1,099 shares;
· Eliminated the restriction against entering orders for the account of the same beneficial owner in less than 30-second intervals; and
· Expanded eligibility to include market orders, not just limit orders. Effectively, we automatically executed all market orders and marketable limit orders.

Following are some results from the first day or two. It's important to note that these are based on a relatively small amount of experience. We will continue to monitor the pilot and use the results to inform our future rollout.

· 73.8% of volume and 97% of the trades were auto-ex on the NYSE on Friday, compared to an average of 0.3% during the April 24 - May 11 period.
· Nearly 17.5 million Lucent shares executed on Direct+ on May 12.
· The largest NYSE Direct+ trade ever occurred on Friday in LU: 646,400 shares.
· The average turnaround time for automatically executed orders was 340 milliseconds (this was for orders of 5,000 shares or less, which we measure for purposes of SEC Rule 11Ac1-5).
· Quoted spreads narrowed, average size of the bid/offer increased, and the percentage of time the NYSE set or matched the national best bid or offer increased.

If you need a refresher on the pilot, here's the memo.