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The supplemental filing details the rules governing automatic-execution orders, sweeps of the limit-order book, specialist and broker interest files and algorithms, and other features of the hybrid market such as “liquidity replenishment points” – the points at which the auction will have an opportunity to supply liquidity to dampen volatility.  Also included are multiple specific examples on how orders will be handled under various trading scenarios.

"Blending the auction market with more automation reflects the Exchange's commitment to our customers and further developing our market," said NYSE CEO John A. Thain.   "The hybrid market provides the most compelling array of choices for trading NYSE-listed securities and will allow us to better accommodate the diverse trading strategies of our customers.”

Expanding the NYSE Direct+ Automatic Order Execution Service

NYSE Direct+ provides order execution at sub-second speed and currently handles more than 10% of the Exchange’s average daily volume.   The NYSE’s hybrid market will feature the following:

• Time restrictions between orders on NYSE Direct+ will be eliminated and all size limit and market orders will be accepted.   Market orders designated by customers for automatic execution and marketable limit orders will be automatically executed at the best bid or offer to the extent that the volume can be satisfied. 
  
• Customers with buy and sell orders beyond the size of the best bid or offer will have the ability to “sweep the book” or designate individual orders to trade at multiple price points subject to certain limitations.
  
• Auction limit (AL) orders, a new electronic order type, will allow investors to electronically place limit orders which are exposed to the market for a short period of time in order to potentially receive a price better than the best bid or ask.

In order to preserve the lower volatility that characterizes trading on the NYSE, sweeps will be subject to specific limits called Liquidity Replenishment Points or LRPs.  LRPs are intended to reduce excessive volatility.  When activated, LRPs automatically convert the market from electronic to auction trading for one transaction.

In the hybrid market, floor brokers will be able to electronically represent large customer buy and sell orders at the point-of-sale.  To assist specialists with market making responsibilities and to maintain fair and orderly markets, proprietary software will allow specialists to automatically supplement liquidity in a fast market environment.

In February 2004, the Exchange submitted its original SEC filing to expand the NYSE Direct+ service.   A supplemental filing was issued in August. The NYSE’s latest rule filing and related information are available at www.nyse.com/direct.

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