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Orders and quotes are treated equally and maintained in the NYSE Arca Book according to price-time priority. The Book (except for certain working orders with conditional prices or sizes) are displayed to all Users. Market orders and/or marketable limit orders will be matched for execution using the following algorithm. All orders executed in Step 1 or 2 must achieve the NBBO, or will be routed according to Step 3.
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Order Matching Process
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| Display Order Process LMM Participation |
Step 1: A marketable bid or offer will first attempt to be matched for execution against bids or offers at the display price for the total amount of option contracts available at that price or for the size of the incoming order, whichever is smaller. Order matching is subject to the LMM participation rules defined below. |
| Working Order Process |
Step 2: Marketable orders will then be matched against working orders like the undisplayed portion of a reserve or an All-or-None in the order of their ranking, for the total amount of option contracts available at that price or for the size of the incoming bid or offer, whichever is smaller. |
| Routing Away |
Step 3: If the order cannot be matched on NYSE Arca the order will be routed, in whole or in part to another Market Center(s) as a limit order equal to the price and up to the size of the quote published by the Market Center. The remaining portion of the order, if any, shall be ranked and displayed in the Book. |
If there is no LMM quoting at the NBBO in the option series, the incoming marketable bid or offer will be matched against orders and quotes in the Display Order Process based upon their price-time rankings. Example:
Market order for 500 entered.
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Submitter Ranked in Time of Entry
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Price |
Size |
Execution |
| Broker Dealer 1 order |
1.00 |
200 |
200 |
| Customer 1 order |
1.00 |
200 |
200 |
| Market Maker 1 quote |
1.00 |
300 |
100 |
| Customer order |
1.00 |
1,000 |
0 |
| Market Maker 2 quote |
1.00 |
400 |
0 |
- Broker Dealer 1 order buys 200 (leaves 300 on incoming order) – price time
- Customer 1 order buys 200 (leaves 100 on incoming order) – price time
- Market Maker 1 quote buys 100 (incoming order filled) – price time
LMM Participation in the Display Order Process
If there is an LMM quoting at the best price in the option series, an incoming marketable bid or offer will be matched against all customer orders ranked ahead of the LMM, provided that the execution(s) must occur at a price equal to or better than the NBBO. The remaining balance of the incoming marketable bid or offer will be matched against the quote of the LMM for either an amount equal to 40% of the remaining balance of the incoming bid or offer up to the LMM’s disseminated quote size; or the LMM’s share in the order of ranking, whichever is greater. The remaining balance of the incoming marketable bid or offer will be matched against remaining orders and quotes in the Display Order Process in the order of their ranking.
Market order for 500 entered
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Submitter Ranked in Time of Entry
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Price |
Size |
Execution |
| Broker Dealer 1 order |
1.00 |
200 |
180 |
| Customer 1 order |
1.00 |
200 |
200 |
| Market Maker 1 quote |
1.00 |
300 |
0 |
| Lead Market Maker |
1.00 |
300 |
120 |
| Customer 2 order |
1.00 |
1,000 |
0 |
| Market Maker 2 quote |
1.00 |
400 |
0 |
- Customer 1 order buys 200 (leaves 300 on incoming order) – Customer 1 priority ahead of LMM in price time
- Lead Market Maker buys 120 (leaves 180 on incoming order) – LMM guarantee, 40% of volume remaining (300) after Customer 1 allocation
- Broker Dealer 1 order buys 180 (incoming order filled) – price time
Crossing on NYSE Arca
Consistent with current crossing rules, the new platform will provide for non-facilitation (“Regular Way ”) crosses, facilitation crosses and solicitation crosses. In all cases, orders must be announced to the trading crowd in open outcry and all terms of the orders must be disclosed to the trading crowd. Trading crowd participants will be given a reasonable time to respond with the prices and size at which they would be willing to participate in the cross. Trading crowd participants, who make bids or offers equal to or better than the proposed cross price, will be permitted to participate in a cross. Cross orders may not trade through any bids or offers on the Book that are priced equal to or better than the proposed execution price. With respect to facilitations, floor brokers will still be permitted to participate in up to 40% of the balance of an order to be facilitated once bids or offers in the Book at or better than the proposed execution price, have been satisfied.
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