Exchanges

Trading Volume Should Be Single-Counted

Wed, 01 Jul 2009 11:57:39 -0500

To single-count or to double-count trade volume, that is the question! Whether 'tis nobler in the mind to suffer the slings and arrows of outrageous double counting, or to take arms against a sea of over-inflaters. And by opposing, end them? Ah, Shakespeare! You clearly were ahead of your time!

Though double-counting (counting shares from both sides of a trade) are useful for marketing purposes and revenue calculations, it has no place in the standard of trade reporting for dark pool (or any pool) share volume. The "tape," which is the trade-reporting standard, reflects single-counted share volume (counting only the traded shares from one side of the trade).

Our markets may support alternative models but they should not support alternative trade-reporting standards. Single-counting is the only answer to this question!

DOT's All, Folks! -- NYSE Replaces SuperDOT, Cutting Order-Execution Time to 5 Milliseconds from 105

Wed, 01 Jul 2009 10:53:07 -0500

From the press release issued this morning:

NYSE... has reduced the time it takes to execute an order to five milliseconds from 105 milliseconds, with the implementation of the new NYSE Super Display Book system (SDBK) for processing orders. As a result, NYSE customers are experiencing trade executions and reports within five milliseconds, as well as order and cancellation acknowledgments in just two milliseconds.

NYSE SDBK replaces the well-known SuperDOT order delivery and processing system – which for 33 years was synonymous with electronic trading – as well the Post Support System, which routed orders to the trading floor. NYSE SDBK is a server-based system based on NYSE Arca’s industry-leading trading engine, providing much greater throughput, flexibility and scalability as well as lower operating costs compared with the mainframe platform that supported SuperDOT.

“We have improved system latency to the single digits today from 350 milliseconds in 2007,” said Louis G. Pastina, executive vice president, NYSE Operations. “NYSE customers can now access our market with greater speed and assurance, and their orders will be delivered and executed more efficiently than ever. For the first time on NYSE, customers can employ the benefits of competitive speed and automation in addition to our longstanding value of high-touch price discovery on the only U.S. exchange cash equities trading floor.”

The NYSE SDBK rollout took three months, and completes an ambitious systems re-architecture project that NYSE initiated just 18 months ago. Since then, NYSE has completely replaced its order entry, order database and routing systems, market data systems and components of its post-trade system. To accomplish this, NYSE has leveraged leading technologies gained through recent mergers and acquisitions, including systems from NYSE Arca, Wombat (now part of NYSE Technologies) and Euronext.

The NYSE SDBK implementation also closely follows the successful implementation of enhancements to the NYSE market model, including incenting the provision of greater liquidity from a broader array of market participants. Additionally, NYSE Amex cash equities will complete their move to NYSE SDBK in August. Later this year, NYSE Euronext’s Universal Trading Platform – already successful in the company’s European equities and fixed-income markets – will be rolled out to NYSE and NYSE Amex as well as NYSE Arca, bringing yet another boost to transaction speed.

NYSE Circuit-Breaker Levels for 3Q 2009

Tue, 30 Jun 2009 16:43:22 -0500

For you traders out there, we just announced the circuit-breaker levels for the third quarter of 2009, effective tomorrow, 1 July.

From the press release:

... Circuit-breaker points represent the thresholds at which trading is halted marketwide for single-day declines in the Dow Jones Industrial Average (DJIA). Circuit-breaker levels are set quarterly as 10, 20 and 30-percent of the DJIA average closing values of the previous month, rounded to the nearest 50 points.

In third-quarter 2009, the 10, 20 and 30-percent decline levels, respectively, in the DJIA will be as follows:

Level 1 Halt
A 850-point drop in the DJIA before 2 p.m. will halt trading for one hour; for 30 minutes if between 2 p.m. and 2:30 p.m.; and have no effect if at 2:30 p.m. or later unless there is a level 2 halt.

Level 2 Halt
A 1,700-point drop in the DJIA before 1:00 p.m. will halt trading for two hours; for one hour if between 1:00 p.m. and 2:00 p.m.; and for the remainder of the day if at 2:00 p.m. or later.

Level 3 Halt
A 2,600-point drop will halt trading for the remainder of the day regardless of when the decline occurs.

Background:
Circuit-breakers are calculated quarterly. The percentage levels were first implemented in April 1998 and are adjusted on the first trading day of each quarter. In 2009, those dates are Jan. 2, April 1, July 1 and Oct. 1.

As I always say, may we never need to consult these procedures, but there they are, just in case. Also for future (hope not) reference, a handy graphic of the breakers can be found at this link.

And now for the trivia:

Today in NYSE History (NYX.com)
30 June 1952 -- The first NYSE-sponsored shareownership survey revealed that 6.5 million Americans own common stock.

'Inching Toward Dark Pool Reporting'

Fri, 26 Jun 2009 15:07:17 -0500

Both Traders Magazine and the Wall Street Journal's MarketBeat blog report this afternoon that Goldman Sachs Electronic Trading will begin reporting volume executed on its dark pool based on single-counted matched executions. So there is some movement concerning one of the SEC's expressed concerns, namely the lack of uniform reporting standards among dark pools.

Again, more to come on this issue.

"Inching Toward Dark Pool Reporting" (Traders) Excerpt:

Last week Goldman Sachs Electronic Trading told clients it would begin reporting volume executed in Sigma X, its dark pool, based on single-counted matched executions. This is a departure from how Goldman has been calculating Sigma X volume. Dark pool operators generally are now mulling their options after the Securities and Exchange Commission expressed concern over the lack of reporting standards.

"Without an absolute industry protocol, we're advocating doing what exchanges have been doing for a very long time: reporting single-counted matched-only volume," said Dave Johnsen, vice president for Sigma X business development at Goldman. "If everyone else puts themselves on the same metric, the dark-pool numbers will add up to 100 percent of dark-pool volume."

"Light is Coming to Dark Pools" (MarketBeat) Excerpt:

Dark-pool administrators be warned: the regulators are coming.

It may not have been Paul Revere’s historic ride to Lexington and Concord, but recent comments from U.S. Securities and Exchange Commission Chairman Mary Schapiro carried just as loudly to those running non-displayed markets. These opaque trading centers have faced a steady stream of criticism from exchanges, market makers and retail investors, who claim they have been hurt by dark pools’ proliferation. But since these pools provide added liquidity to the market, regulators have been leery to interfere - until now.

Reference to the American Revolutionary War, as Independence Day approaches next weekend, duly noted.

Russell Reconstitution Today

Fri, 26 Jun 2009 08:27:18 -0500

After I've been nagging you for a week, today it's finally here: the annual reconstitution of the Russell indices, when hundreds of NYSE- and NYSE Amex-listed issues go in and out of the indices. If you've been in a cave the last few days, here is our post with links to the relevant procedures and policies. We're not anticipating a problem, but better to be over-prepared, yes?

That also means today is the final installment in our little Great Russells in World History series. I've saved my personal favorite for last. Today's Great Russell is.....

Bucky Dent.

Bucky Dent? Yes, Bucky Dent, born Russell Earl O'Dey. Yankee shortstop of the 1970s who in 1978 hit the decisive home run to lead the Yanks to a comeback win over the Red Sox in a one-game playoff for the pennant. The game capped a miraculous comeback pennant drive and opened the path to another World Series championship for the Yanks. In short, the kind of performance Yankee fans haven't seen in October since, um, far longer than I care to remember. Here's a recent piece in the New York Times with Bucky reflecting back on that time.

How did I remember that his given name was Russell? Your humble blogger has an amazing capacity for retaining absolutely useless, trivial nonsense, as Mrs. Humble Blogger reminds him with some regularity.

Forgive my bringing all that up, Sox fans. It's been kinda tough for us Yankee faithful recently. Anyway, hope you've enjoyed our little runup to Russell. Have a good Friday and weekend.

Today's Great Russell in World History

Thu, 25 Jun 2009 16:31:21 -0500

I've been a little too busy to post today but the Closing Bell has clanged, tomorrow's Russell Indices recomposition draws nigh (draws nigh? Where did that come from?), and I did promise you a daily installment of Great Russells in World History. Here's one you probably didn't expect, unless you were really paying attention in school:

Bertrand Russell.

Who, you say?

Bertrand Arthur William Russell (b.1872 - d.1970) was a British philosopher, logician, essayist, and social critic, best known for his work in mathematical logic and analytic philosophy. His most influential contributions include his defense of logicism (the view that mathematics is in some important sense reducible to logic), and his theories of definite descriptions and logical atomism. Along with G.E. Moore, Russell is generally recognized as one of the founders of analytic philosophy. Along with Kurt Gödel, he is also regularly credited with being one of the two most important logicians of the twentieth century. ...

Over the course of his long career, Russell made significant contributions, not just to logic and philosophy, but to a broad range of other subjects including education, history, political theory and religious studies. In addition, many of his writings on a wide variety of topics in both the sciences and the humanities have influenced generations of general readers. After a life marked by controversy (including dismissals from both Trinity College, Cambridge, and City College, New York), Russell was awarded the Order of Merit in 1949 and the Nobel Prize for Literature in 1950. Also noted for his many spirited anti-war and anti-nuclear protests, Russell remained a prominent public figure until his death at the age of 97. ...

Russell's contributions to logic and the foundations of mathematics include his discovery of Russell's paradox, his defense of logicism (the view that mathematics is, in some significant sense, reducible to formal logic), his development of the theory of types, and his refining of the first-order predicate calculus.

Russell discovered the paradox that bears his name in 1901, while working on his Principles of Mathematics (1903). The paradox arises in connection with the set of all sets that are not members of themselves. Such a set, if it exists, will be a member of itself if and only if it is not a member of itself. The paradox is significant since, using classical logic, all sentences are entailed by a contradiction. Russell's discovery thus prompted a large amount of work in logic, set theory, and the philosophy and foundations of mathematics.
-- (Stanford Encyclopedia of Philosophy)

"The paradox arises in connection with the set of all sets that are not members of themselves. Such a set, if it exists, will be a member of itself if and only if it is not a member of itself."

And you didn't think you were going to learn anything today!

Tune in tomorrow for the final episode of Great Russells. Can you stand the suspense?

Southwest Airlines Celebrates 38th Birthday at NYSE

Thu, 25 Jun 2009 14:01:31 -0500

From Marisa Ricciardi: What better way to ring in a birthday than to celebrate it with millions of viewers worldwide? On June 18, Southwest Airlines (NYSE: LUV) did just that. In honor of the occasion, Chairman, President and CEO Gary Kelly rang the Opening Bell to commemorate the event as well as promote their new presence at LaGuardia Airport. Starting June 28, Southwest will begin service to LaGuardia with eight daily roundtrips flights between Baltimore and Chicago.

Prior to the bell ringing, Gary Kelly and Southwest employees handed out birthday cupcakes and their signature LIFT coffee to traders and NYSE employees. Check out the videos (above, from us, below by Southwest) which highlight their NYSE experience.

NYSE Euronext and Juniper Networks Plan Ultra-Low-Latency Network for Data Centers

Wed, 24 Jun 2009 17:14:04 -0500

Turns out the announcement about our new platform for market data was not the only news of the day on the technology front. This came out this afternoon:

NYSE Euronext and Juniper Networks Announce Plans for Ultra-Low Latency Network for Global Trading Data Centers;
Juniper’s Data Center Infrastructure Solutions Offer Speed, Efficiency and Cloud Computing Vision to World’s Fastest Financial Trading Network

NYSE Euronext...and Juniper Networks...today announced the companies are working together to design a state-of-the-art, ultra-low latency core network for NYSE Euronext’s new consolidated global data centers. Located in the greater New York and London metropolitan areas, NYSE Euronext’s two new data centers will be the primary operational infrastructure supporting several billion daily transactions and quotes across diverse asset classes and geographies, and will be instrumental in NYSE Euronext’s effort to consolidate the total number of its global data centers from ten to four. Expected to be operational in 2010, the new facilities will provide much greater network scale and efficiency, with plans to utilize Juniper’s Data Center Infrastructure Solutions and advanced data center fabric technology to support an unprecedented internal latency of 50 microseconds roundtrip.

“Juniper’s simplified data center approach will allow us to deploy a complete 10 Gigabit Ethernet network with ultra-low latency at a substantial cost savings,” said Steve Rubinow, executive vice president and co-global CIO of NYSE Euronext. “Juniper has developed truly unique and innovative technologies that help us to deploy a very high capacity, low latency network that meets the stringent demands of the new data center. With Juniper, we are able to dramatically cut the cost and complexity of managing our data center network today, while continuing to enhance our competitive position with a next-generation data center fabric that will enable us to scale to tens of thousands of 10GbE ports. With such an elastic and efficient infrastructure, we can provide enhanced functionality to our customers at unmatched scale while minimizing total cost of ownership.”

Leveraging the high-performance switching and routing technologies of the Juniper Networks EX Series Ethernet Switches and MX Series Ethernet Services Routers, the NYSE Euronext trading platform is being designed to enable the total network performance, reliability, security and throughput essential to ensuring that NYSE Euronext, the world’s largest and most liquid cash exchange, provides its clients with the technology to succeed in the low latency, high-frequency trading market.

“Competitiveness in the global financial markets is measured in microseconds and the NYSE Euronext trading platform is one of the world’s premiere high-performance networks, supporting billions of transactions each day,” said Kevin Johnson, Chief Executive Officer of Juniper Networks. “The NYSE Euronext technology vision is in alignment with Juniper’s next generation data center roadmap, which will lead to the creation of a single data center fabric that will deliver a quantum advance in scale, performance and simplicity, while lowering energy consumption and reducing overall operating costs.”

As a substantial piece of the technology synergies being achieved from the NYSE Group/Euronext N.V. merger consummated in 2007, NYSE Euronext is committed to realizing the substantial cost savings and management efficiencies from consolidating its global data centers to four, including the two newly-designed structures in the greater New York and London metropolitan areas that will complement the already existing data centers in Paris and New York.

“The challenge of building next generation trading platforms requires new levels of cooperation between network, compute, and storage engineers on internal teams and in cooperation with technology suppliers,” said Abner Germanow, director of IDC’s Enterprise Communications Infrastructure services. “NYSE Euronext's business performance is directly correlated with the performance of their network, validating Juniper's strategy and helping to drive innovation for one of the most demanding networks in the world.”

By collapsing the multiple switching layers present in traditional network architectures, the new simplified NYSE Euronext network design requires fewer devices and interconnections, leading to improved efficiencies in space, power, cooling and management. Juniper Networks Data Center Infrastructure Solutions can significantly reduce network complexity and total cost of ownership by up to 52 percent in capital expenditures, up to 44 percent in power, up to 44 percent in cooling and up to 55 percent in data center rack space.

The data center core designs are anchored by the EX8216 Ethernet Switch, purpose-built to deliver the wire-speed performance, low latency, carrier-class reliability and scalability to enable NYSE Euronext to consolidate network layers and reduce capital and operational expenses across the infrastructure. The architecture uses top of rack EX2500 Ethernet Switches to provide access connectivity to the data centers’ high-performance servers with 10GbE ports that deliver wire-speed throughput. NYSE Euronext also plans to leverage the advanced routing capabilities, such as MPLS network virtualization, low-latency multicast, advanced quality of service (QoS), and high availability of Juniper’s family of MX Series Ethernet Services Routers.

The EX8216 and MX Series run on JUNOS® Software, a single source operating system that integrates routing, switching, security and network services, offering NYSE Euronext network administrators the ability to quickly and cost-effectively keep up with changing business demands and easily customize new services and applications.

New Data Platform Offers 10X Performance Boost, Plus Up To 80% Hardware Reduction

Wed, 24 Jun 2009 11:32:30 -0500

This was just announced at the SIFMA annual tech conference:

NYSE Technologies, the innovative commercial technology unit of NYSE Euronext, today announced the launch of its next generation market data infrastructure, NYSE Technologies’ Market Data Platform V5. This revolutionary ticker plant technology is designed specifically for high-volume and latency sensitive markets, delivering data in microseconds rather than milliseconds. It offers 10 times the overall performance of previous generation market data platforms while allowing customers to reduce their hardware footprint by as much as 80%.[1]

The accelerated Market Data Platform V5 has been carefully engineered to deliver extremely high throughput and low latency market data delivery, providing significant value for co-location solutions, high frequency trading and enterprise ticker plant deployments. It is built on NYSE Technologies’ Data Fabric middleware, a proven technology that drives the most advanced ultra-low latency infrastructure in the marketplace.

“NYSE Technologies’ Market Data Platform V5 is game-changing. It represents a quantum leap forward in nearly every aspect of market data distribution,” said Stanley Young, CEO, NYSE Technologies and co-global CIO, NYSE Euronext. “Through this accelerated new system we offer microsecond message processing at peak rates and single-server application, enabling our clients to benefit from a significant reduction in hardware investment and operation costs. When multiplied across high-availability and disaster recovery sites, the cost savings can be exponential. We are very excited to demonstrate the astonishing potential of this integrated platform to our customers, particularly in tandem with the complete NYSE Technologies market data product suite.”

NYSE Technologies’ performance benchmarks, certified by Intel Fastlab, confirm that Market Data Platform V5 offers continuous throughput of 500,000 messages per second on a single CPU core, with a mean latency of less than 40 microseconds over Remote Direct Memory Access (RDMA) and an ultra-low latency range of 10-20 microseconds over Local Direct Memory Access (LDMA) – ideal for co-location servers.

Stephen S. Pawlowski, Intel Senior Fellow, Digital Enterprise Group Chief Technology Officer, Digital Enterprise Group and General Manager, Architecture and Planning said, “NYSE Technologies' Market Data Platform V5 with Data Fabric takes advantage of Intel Xeon processor 5500 series-based servers with Intel Quick Path Interconnect. The scalability and low latency of Market Data Platform V5 combined with the performance of the Intel Xeon processor further increases its capabilities as a market data platform. Together, Market Data Platform V5 dramatically reduces the server footprint in the data center to create a cost effective solution on industry standard hardware."

NYSE Technologies’ Market Data Platform V5 supports a wide range of integration options, (including LDMA, RDMA, TCP ) and is vendor neutral allowing deployment on any hardware platform that supports Linux. This flexibility ensures that this accelerated platform can be incorporated easily into virtually any environment. It can run on existing or new hardware and it can interoperate with legacy infrastructure. Market Data Platform V5 is designed to scale with ease from a single server installation, where the feed handlers, Market Access Gateways (MAGs) and client applications run on the same machine, up to larger distributed enterprise ticker plants with sophisticated message distribution requirements.

Designed to have the lowest total cost of ownership possible, Market Data Platform V5 combines cost effectiveness with the unparalleled speed and processing power that has made NYSE Technologies the market data technology vendor of choice for the top 10 global financial institutions. The platform supports all high-volume US markets and is currently being rolled out to other latency-sensitive markets in the US and Europe

Market Data Platform V5 is cross-compatible with NYSE Technologies’ market-leading Feed Handler Suite which offers more than 160 feed handlers for extensive global market coverage. Firms interested in reducing the hardware footprint of this global ticker plant solution can pair the platform with the Data Fabric middleware.

For more information on NYSE Technologies’ Market Data Platform V5, please visit: www.nyse.com/marketdataplatformV5

[1] Hardware utilization measurement based upon independent tests. Results may vary. NYSE Technologies does not guarantee any savings or level of performance.

Happy Wednesday, folks. As we continue approaching Friday's Russell indices reconstitution, here's your daily dose of Great Russells in World History, suggested by my former colleague and music aficionado and erstwhile guitar student, Joyce Goldzman: Leon Russell.

Leon is the under-appreciated songwriter and musician who had a hand in "River Deep, Mountain High" by Ike and Tina Turner, "A Taste of Honey" by Herb Alpert, "This Diamond Ring" by Gary Lewis and the Playboys, "Mr. Tambourine Man" by the Byrds and Joe Cocker's cover of "The Letter." He also played with, among many others, Sinatra, Dylan, the Stones, and very memorably in the Concert for Bangladesh. He also had a hit with his "Tight Rope" and wrote the gorgeous "A Song for You." Worth checking out if you don't know him, and worthy of his place among the esteemed Great Russells in World History. Thanks for the nomination, Joyce.

And who will tomorrow's Great Russell be? Nominations are still open, in the comment box below.

Options Transaction Fees on a Diet

Wed, 24 Jun 2009 09:31:00 -0500

From Todd Wilemon: The times are a ‘changing.

At NYSE Euronext, we are looking to save you money. The two options exchanges you love to trade on because of speed and reliability are about to become the low-cost / no-cost places to trade.

I think you should be sitting down for the next announcement.

As of July 1, 2009, NYSE Options will no longer charge a facilitation fee to firms who facilitate their customer order flow. We are eliminating the fee for firm facilitation of customer orders. It’s going to zero. Yes, the price is FREE on both exchanges! (The firm facilitation fee applies to any transaction involving a firm’s proprietary trading account that has a customer of that same firm on the contra side of the transaction.)

“We are proud to offer our customers the most competitively priced exchanges to trade on,” said Ed Boyle, Senior Vice President, U.S. Options, NYSE Euronext. “Our commitment to providing exceptional market quality coupled with industry-leading speed and reliability is now further strengthened by having the lowest transaction fees for firm facilitation. We look forward to continue to offer our customers an exceptional options trading experience.”

We are extremely excited to present our customers with the lowest facilitation rates in the industry. We know you have a choice where you trade and we want that choice to be NYSE Euronext!

The good news is that it does not end just with the firm facilitation fee. NYSE Options is also cutting the manual broker dealer/firm transaction fee from $0.26 to $0.25 on both NYSE Arca and NYSE Amex. Remember, every penny counts!

If you are still standing up, now it’s really time to take your seat, because on NYSE Amex, the electronic broker dealer/firm transaction fee has also been reduced from $0.50 to $0.15, which represents (for those of us who do not have a calculator handy) a 70% fee reduction Talk about Christmas in July!

These pricing changes offer our clients extremely competitive rates for both electronic and open outcry transactions.

Both NYSE Arca and NYSE Amex options markets run hybrid systems, incorporating state-of-the-art, open-outcry trading facilities with an electronic trading platform capable of processing 250,000 orders per second with 2-millisecond order acknowledgment times.

NYSE Amex, our options exchange in New York, is a traditional, market maker pro-rata distribution exchange where customers always trade for free. In San Francisco, NYSE Arca is a maker/taker, price/time priority options exchange where people who post liquidity to the market get paid. And both exchanges will now give firms the ability to facilitate customer orders for free. No free lunch? Not anymore!

Whew! I need to sit down myself! That is enough good news for today.

Trade ‘em up!

John Lothian Goes Metal

Tue, 23 Jun 2009 07:57:25 -0500

If you're in the trading business, particularly on the futures side, you know the name John Lothian, editor and publisher of the eponymous newsletter. I don't know of an industry authority who is more trusted or on top of things in the markets, not to mention in the lead on developing wikis, blogs, and other ways to generate conversation and understanding about the business.

As an aside, John was also the first to publish something about this blog, an acknowledgment that brought a lot of readers, for which I'll always be grateful.

Today I'm happy to return that favor, though my endorsement hardly carries the weight of a Lothian mention. John recently launched the John Lothian Newsletter Metals Edition. NYSE Liffe U.S. is proud to be the exclusive sponsor.

The JLN Metals Edition is a free, daily online newsletter providing market participants with aggregated news and commentary about the metals markets. The newsletter focuses on activities in the futures markets, the physical trade and the companies that participate in either or both. The JLN Metals Edition also monitors news reporting on the metals markets, commenting on quality and scope of coverage.

John says: “Back before there was blogging, wikis, Web 2.0 and a slew of bankrupt newspapers, we tried something new to deliver news, information and informed commentary to traders, investors and other people with interests in the markets. Our goal was to help grow understanding of the markets and allow people to manage their non-price related risks better. With the launch of JLN Metals Edition, we are bringing to bear the full weight of the experience, tools and skills we have acquired to news coverage of the global metals markets. We are pleased to have NYSE Liffe U.S. support this effort.”

Chris McMahon, formerly of Futures Magazine and current adjunct instructor at the Medill School of Journalism at Northwestern University, edits the newsletter, gathering news and providing commentary.

Me, I enjoy scanning it to take a quick pulse of what's going on, and to pick up links to news and commentary that I would otherwise miss. There's also a Twitter feed, a blog and an RSS feed.

And it's FREE, for crying out loud.

To sign up, visit http://metals.johnlothiannewsletter.com or email ryanlothian@johnlothian.com. Enjoy.

Happy Tuesday, my friends. Reminder: the annual Russell Indices reconstitution is but three days away. Know your procedures, know your participating stocks, know your customer, know...that I got a little carried away there.

In connection with the countdown to Friday, today's nomination for "Great Russells in World History" is a double, from my colleague Karen Lorentz:

Think basketball, Ray. Bill or Cazzie - or both.

Thanks, Karen. Here's something about Bill Russell, as well as Cazzie Russell. They were both something to see in their day.

Nominations for the next Great Russell in World History remain open in the comment box below, but get 'em in soon, before we run out of days in the rest of the week. And I already have a very special one planned for Friday.

Reports from the Electronic-Trading Front

Mon, 22 Jun 2009 11:09:29 -0500

Two articles from yesterday and last Friday report on how market transparency and stability are faring in the brave new world of increasingly electronic trading.

SEC spotlight puts 'dark pool' venues on defensive (Reuters) Excerpts:

The operators of anonymous stock trading venues called "dark pools" defended their existence on Friday, but conceded they could be more transparent after the U.S. Securities and Exchange Commission warned they posed "emerging risks." ...

... The widespread practice of sending pre-trade messages, known as indications-of-interest, or IOIs, could spawn big private markets to which the public does not have fair access, the chairman said. ...

Observers wonder whether the SEC will crack down on flashes and IOIs, require details on those who participate in dark pools, or simply mandate better trade reporting from the murky industry.

"I'd agree that there should be more regulations on IOIs going out," said Whit Conary, president of dark pool LeveL ATS, which was launched in 2006 and is owned by Citigroup Inc, Credit Suisse Group AG, Fidelity and Merrill Lynch, which was acquired by Bank of America Corp. "I don't think you have to over-regulate it, but at the very least a customer has every right to know if information on his order is being sent out."

Our comment letter on the topic is here. On a related note, my NYSE MatchPoint colleague Jim Ross reminds me in an e-mail that MatchPoint is a dark pool that, as an exchange facility, has its operational model available for review on our Web site and in our MatchPoint rules, and that MP trade reports appear on the Tape with an N and an X modifier to identify MP trades from other NYSE trades. "MatchPoint is the most transparent dark pool!!!!" Jim concludes, and yes, the extra exclamation points are his, reflecting his passion for the topic.

The other article is "Rise of the (Market) Machines" (MarketBeat). Excerpts:

Increasingly, investors and pundits are clutching at straws to explain big moves in the stock market. The difficulty in divining a fundamental explanation stems from a structural change in the U.S. stock market: The majority of stock trades now originate with fully automated “high frequency” funds, a phenomenon that has accelerated during the market turbulence of recent years because of the relative success of the strategy.

... With the rise of these automated funds, the stock market is more prone than ever to large intraday moves with little or no fundamental catalyst. Computers don’t analyze the news (although some strategies use headlines as triggers) or seek to justify their buying and selling. Even in the relative quiet of the last three months, investors have often watched individual stocks or sectors move by 10% or more without explanation.

We'll continue to follow both topics. Your comments are welcome, as always.

Welcome to Russell Reconstitution Week, folks. In case you missed my post last Friday, this coming Friday, 26 June, will mark the annual entry and exit of issues from the Russell Indices, and this can drive a lot of trading in those issues that day and/or the days leading up to it. Check it out for links to all the related procedures and guidance.

And of course, that same post kicked off the daily series of Great Russells in World History, with Russell Goings, Jr. taking the initial honors. Today's entry was nominated by my colleague Daniel Labovitz:

Russell Stover. Don't know who he was, exactly, but there's a brand of candy with his name on it, so he must have done something worthwhile...and if it was just that he made chocolates, well, that's pretty good too.

Good enough, Dan. Happens to be my mother's favorite candy. And since you mentioned it, here's the official history of the candy maker.

Nominations for tomorrow's Great Russell in World History are now open, in the comment section below.

Russell Indices Reconstitution A Week From Today

Fri, 19 Jun 2009 19:37:48 -0500

You BRTs and TSTs out there (blog-reading traders and trade-support types) probably saw this Trader Update about the Russell indexes reconstitution taking place a week from today, but as a public service I like to call attention to the more important Updates. Because I know there's an absolute dearth of information coming at you every millisecond of every day from every direction, so you absolutely need to hear this from me too.

Plus, it keeps me employed.

But I digress. According to the update:

On June 29, 2009, the newly rebalanced Russell indices (Russell Global Index, Russell 1000® Index, Russell 2000® Index Russell 3000® Index and Russell Microcap® Index) will go into effect and will remain in place for the next 12-month period. The newly reconstituted indices will take effect after the close of the U.S. equity markets on Friday, June 26, 2009. The Russell Investment Group will use the NYSE Closing trades to price the NYSE-listed and NYSE Amex-listed securities added to the indices.

The Update includes a link to the Procedures memo, which includes MOC/LOC rules and communication and contingency scenarios. There's also, at no extra charge, a new Trading Near or on the Close FAQ.

As an additional public service to help you keep this big, annual market event in mind for the next week, starting today I'm giving you the first in a daily series of Great Russells in World History. Collect 'em all.

Today's inaugural Great Russell: Russell Goings, Jr., founder and chairman of First Harlem Securities, one of the first full-service African-American brokerage firms to own a seat on the NYSE.

Mr. Goings was here earlier this year to ring the Bell in celebration of the release of his first book of poetry, “The Children of Children Keep Coming: An Epic Griotsong.” A man worth reading about.

Got a favorite Russell to nominate? The comment box awaits below.

While Others Remain In The Dark, NYSE Adds Transparency

Fri, 19 Jun 2009 14:12:09 -0500

Beginning on Monday, 22 June, NYSE will begin including trading-floor brokers' d-Quotes and pegging e-Quotes eligible to trade in the close in the NYSE closing order-imbalance information that is disseminated beginning at 3:55 p.m.

The goal is to increase transparency and provide opportunities for contra-side interest to develop, thereby decreasing volatility and ultimately contributing to the maintenance of a fair and orderly market.

d-Quotes are discretionary orders sent by brokers as agent for customers; pegging e-Quotes are orders sent by brokers that are "pegged" to the bid or offer.

Here's a memo with a fuller explanation of the change.

Have a good weekend, folks. And to all the dads out there and everyone who loves a dad, Happy Father's Day.

Smithfield Foods and 'Dr. BBQ' Heat Up the Market

Thu, 18 Jun 2009 16:12:41 -0500

From Marisa Ricciardi: Who doesn’t love a good barbecue? The food, fun and intoxicating smell is a sure-fire sign that summer has arrived. On June 11, Smithfield Foods (NYSE:SFD) and the National Pork Board made an exclusive stop to serve delicious BBQ lunches to NYSE members and employees. Smithfield Foods visited Wall Street to promote “The Other White Meat Tour,” scheduled to cross the country all summer long.

In addition to great food and music, Ray Lampe, “Dr. BBQ,” performed live demos on preparing great pork loin roasts and offered tips and techniques for handling pork in just minutes. The live demos appeared on a big-screen plasma TV that attendees and the public enjoyed throughout the day.

The Other White Meat Tour is scheduled to visit 27 cities nationwide throughout the summer months. This past weekend the tour stopped in Manhattan at the Big Apple Barbecue in Madison Square Park. Next stops include Birmingham, AL and Washington, D.C. If the food and energy are anywhere near what was experienced on Wall Street, you won’t be disappointed!