NYSE Group exchanges introduced improved handling for Minimum Fill instructions (“Min Fill”) on the Pillar technology platform earlier this year. With this functionality, market participants can elect to prevent multiple orders from being aggregated to satisfy the Min Fill. An order marked with a Min Fill instruction will not return a fill for less than the Min Fill quantity, even if multiple contra orders would add together to meet the Min Fill amount.
Usage of the improved Min Fill functionality has already increased our average fill size. NYSE Arca midpoint order average fill size has grown about 7%, from 198 shares to 211 shares.1
Data: October 2019 — Arca posted midpoint orders filled against constraside orders of a smaller size
Data: October 2019 — Arca Limit IOC Orders priced at or better than midpoint
1 Midpoint fills for stocks priced between $10 and $50 in Q2 and Q3 2019
Following the record-setting 40.1 million average daily volume (ADV) in the 1st quarter of this year, Q2 2021 options volume was the 2nd highest of all-time with 37.6 million contracts traded per day. Robust volume was driven in part by market anticipation of a potential earlier rise in interest rates and Fed tapering, as well as increased volume in options on new issues and continued activity in retail-focused stocks.
After-hours trading has been a larger piece of the total trading volume since the onset of the pandemic, with retail presence growing stronger and earnings announcements becoming less of a factor. In this post, we examine the impact of these shifting dynamics on after-hours price discovery and order behavior.
The surge in market volatility and trading volumes since the onset of the pandemic in March 2020 has impacted numerous aspects of equity market trading. One less-studied area has been after-hours trading. After-hours has also seen changes in order flow trends and influences, and here we examine trends and shifts occurring in these sessions.