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Order Entry
All participants may enter orders for exposure to the electronic crowd. Each order exposed in the system initiates a new auction. Participants in the crowd have a limited period in which to compete for each order's execution.
Orders may be exposed for a maximum of zero, 15, or 30 seconds. The system will accept round and mixed lot orders. The system accepts short-sale and short-sale-exempt orders.
Participants may enter orders with conditions such as "all-or-none" that can affect the orders' handling during and after the exposure process.
When the system exposes an order for auction, it communicates only the side and size of that order to crowd participants. If an order is in the process of being exposed for an extended period, and a participant enters another order in the same security on the same side, the system will auction both orders concurrently.
Types of orders
There are two types of orders that participants can enter into the system:
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Immediately executable limit (priced) orders |
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Market orders. |
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Immediately Executable Limit (Priced) Orders
These are defined, for the purposes of this system, as orders priced at or within the NBBO. The system will reject any buy order priced below the prevailing best bid at its time of entry as well any sell order priced above the prevailing best offer at its time of entry. Immediately executable limit orders are eligible only for "zero" seconds maximum exposure periods, also known as immediate auctions.
Maximum Exposure Period
All orders must specify a maximum exposure period. This exposure period represents the maximum time of the auction for that order. The system may execute an order well before the maximum time is reached, provided the order's conditions are met. This speeds order executions while still providing meaningful opportunities for orders to receive price improvement and enhanced liquidity.
Zero Second Auctions
In a zero seconds auction, an order is exposed only to interest that is already resident in the system. This resident interest primarily consists of indications (a type of pre-defined response explained in the section: "Auction Responses"). It may also consist of orders on the opposite side of the market that are in the process of being exposed for an extended period (a maximum of either 15 or 30 seconds). When an order being exposed for zero seconds locates acceptable interest already resident in the system, the order will execute immediately.
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