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Interaction
Following is a basic description of guidelines regarding response priority and execution pricing within the Primex Auction System.
Predefined Relative Indications (PRIs)
PRIs always have priority over other auction responses entered by crowd participants. When an order is being exposed, the system ranks PRIs already resident in the system using a strict relative-price/time priority.
PRI Price/Time Priority
A PRI that seeks to provide greater price improvement relative to the NBBO will have priority over a PRI that seeks to provide relatively less.
Example:
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In a given security there are two PRIs to buy. One PRI is to buy 1,000 shares at a relative price of three cents better than the best bid. The other is a PRI to buy 5,000 shares at a relative price of two cents better than the best bid. |
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Result:
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The PRI bidding three cents price improvement has priority, because it is willing to provide more price improvement. |
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When two PRIs seek to provide the same relative price improvement, the PRI that was entered first will have priority.
Example:
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In a given security there are two PRIs to buy. One, entered at 10:00 a.m., is to buy 1,000 shares at a relative price of three cents better than the best bid. The other, entered at 11:00 a.m., is to buy 5000 shares, also at three cents better than the best bid. |
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Result:
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The PRI that was entered at 10:00 a.m. has priority, because it was entered first. |
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PRIs and the NBBO Spread
The system will accept at all times PRIs seeking to provide up to three cents price improvement. PRIs that seek to provide more than three cents price improvement will be accepted only when the their price improvement does not exceed the prevailing NBBO spread.
Example:
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In a given security the NBBO is $20.00 — $20.05. A participant enters a PRI to buy 1,000 shares at a relative price of five cents better than the Best Bid. The system accepts the PRI. An order to sell 1,000 shares at the market is entered. |
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Result:
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The PRI establishes the price of the execution at five cents better than the best bid ($20.05). The PRI's 1,000 shares immediately interacts with the 1000-share order at a price of $20.05. |
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