CTA Market Data Dist Formula 2006-08-2 Final FRS v3
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Transcript of CTA Market Data Dist Formula 2006-08-2 Final FRS v3
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CTA/UTP Revenue A llocation
Funct ional Requ irements
Speci f icat ion
Created for the CTA/CQOC and UTP Subcommittees
August 2, 2006Final Version 1.9Lee GreenhouseR. TeeWilliams
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Slide 2August 4, 2006 Final Version 3.0
Table of Contents
SlideProcess Overview 3
Trade Process 49
Security Income Allocation Process 1015
Quote Process 1656
Credit Calculation Procedures 5762
Reporting and Data Retention Rules 6369Appendices 70
Appendix 1: Glossary 7173
Appendix 2: Table of Steps 7476
Appendix 3: Background of Flickering Quote Removal Process 7781Appendix 4: Additional Examples 82 88
Appendix 5: CTA-specific Issues 8991
Appendix 6: UTP-specific Issues 9293
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Slide 3August 4, 2006 Final Version 3.0
Process Overview: The revenue allocation processinvolves a number of steps
we will review each of these steps**.
23:59:59:9900:00:00:00
Twenty-four hour period
Trading day
* While trades executed any time are eligible for credit, each SIP establishes standard hours for trade input.
** A complete list of steps is provided in Appendix 3 slides A70A71.
Trade process*(slides 4 to 9)
Quote process
(slides 10 to 50)
Calculationprocess
(slides 56-61)
Security incomeallocation process
(slides 10 to 15)
Reportingprocess
(slides 62-66)
Dataretentionprocess
Participantpaymentprocess
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Trade Process
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Slide 5August 4, 2006 Final Version 3.0
Process Overview: The Trade Process
00:00:00:00
Quote process
Twenty-four hour period
Trading day
23:59:59:99
SIP collectstrade reports &
processes
corrections
All plan participants
SIP adjustedtrades reports
fileCalculation
process
Step T2Process unbundled
trades
Security
Incomeallocationprocess
Step T1
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Slide 6August 4, 2006 Final Version 3.0
Examp le A Step T2: Three Ways to Report Trades for Credit
Approach 1:SIP reads tape
Approach 3:New complete file
including adjustmentsreplaces tape reports
Market ATrade Count
Market BTrade Count
Market CTrade Count
Market
Market A Market B Market C Market
SIP
Market GTrade Count
Market G
New File
Approach 2:End of day adjustmentsto tape
Market GTrade Count
Market G
Adjustments
SIPSIP
Each Plan or SIP will define the policies and procedures for its participatingmarkets to submit unbundled trades.
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Slide 7August 4, 2006 Final Version 3.0
Table 1: Tentative Plans to Provide Unbundled Trades*
Tape A Tape B Nasdaq listed
Market
Unbundled
trades
Delivery Unbundled
trades
Delivery Unbundled
trades
Delivery
AMEX Yes Newcorrected file
YesNew
corrected fileYes
End of dayadjustmentsto tape
ArcaEx No SIP read tape No SIP read tape No SIP read tape
BSE No SIP read tape No SIP read tape No SIP read tape
CBOE No SIP read tape No SIP read tape No SIP read tape
CHX No SIP read tape No SIP read tape No SIP read tape
NASD Yes Newcorrected file YesNew
corrected fileNo SIP read tape
Nasdaq YesEnd of day
adjustmentsto tape
YesEnd of day
adjustmentsto tape
YesEnd of day
adjustmentsto tape
NSX No SIP read tape No SIP read tape No SIP read tape
NYSE Yes Newcorrected file YesNew
corrected fileNA NA
PHLX No SIP read tape No SIP read tape No SIP read tape
*Subject to change by each plan.
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Slide 8
August 4, 2006 Final Version 3.0
Trade Step T1: Trade Collection ProcessStatus Step # Step Rule Examples/Comments
Revised11/29/05
T1.0 Collect trades All trades are eligible for credit whenever theyoccur (before, during and after market hours) ifthey are reported to a SIP.
Revised12/6/05
Subject to
further
definition
by each
Plan
T1.1 The SIPs will continue to process corrections,adjustments, and other revisions to trade reportsbased on their then-current procedures for suchchanges.
Revised
12/6/05
Subject to
further
definition
by each
Plan
T1.2 As standard procedure, Participants will send
unbundled trades as soon as possible followingtheir market close.
Revised1/6/06
Subject tofurther
definition
by each
Plan
T1.3 On an exception basis, SIPs may acceptcorrections to reported trades beyond the twenty-four hour period (I.e., post trading day or post-T)
normally allowed to report unbundled trades. EachSIP has specific rules and procedures for acceptinglate trades reports. SIPs will not as a regularpractice accept corrections after the end of dailyprocessing. Should an emergency situation arise,Participants should present the case for makingextraordinary corrections to the Plans through thePlan Administrator.
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Slide 9
August 4, 2006 Final Version 3.0
Trade Step T2: Unbundled Trades Process
Status Step # Step Rule Examples/Comments
Revised
12/13/05
Subject to
further
definition
by each
Plan
T2.0 Unbundled
tradesprocess
Each SIP will define its policies and procedures for
its participating markets to submit unbundledtrades.
In Example A, Market Centers A, B and
C tell the SIP to read the trade feed fortheir trade counts. Market G declaresthat it will submit unbundled trades and itmust furnish a new revised trade fileeach day.
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Security Income Allocation Process
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Slide 11
August 4, 2006 Final Version 3.0
Process Overview: Security Income Allocation Process
Twenty-four hour period
Trading day
Trade process
Quote process
Step SIA1.0:Compute initial
incomeallocation foreach security
Plans
cumulativedistributable
income
Step SIA2.0:Computeadditionalincome
allocation foreach security
Step SIA3.0:Compute final
incomeallocation foreach security
Calculationprocess
Reportingprocess
Dataretentionprocess
Participantpaymentprocess
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Slide 12
August 4, 2006 Final Version 3.0
Step SIA 0: Security Income Allocation Process Overview
Status Step # Step Comments Examples
SIA0.0 SecurityIncomeAllocation:Overview
The Security Income Allocation is computed by taking thecumulative Plan income and dividing it among the securitiescovered by the Plan.
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Slide 13
August 4, 2006 Final Version 3.0
Step SIA1: Allocate Security Income
Status Step # Step Rule Examples/Comments
SIA1.0 Allocate
securityincome
The first step of the new formula is to allocate a Networks total
distributable net income among the many different securities that areincluded in a Network (the Security Income Allocation).
There are two components to the security income allocation for each
security:
Finalsecurity income allocation = in i t ia lsecurity income allocation +
addit ionalsecurity income allocation, where:
Init ialsecurity income allocation = lesser of:
a.) Distributable Net Income for calendar year by Plan
X Dollar Volume % for Eligible Security
b.) $4 X Total # Qualified Transaction Reports for an Eligible Security
Dollar Volume % = (Dollar Volume of Transaction Reports for an
Eligible Security for calendar year)0.5SUM (Dollar Volume of
Transaction Reports for EACH eligible Security for calendar
year)0.5
Qualified Transaction Reports are calculated as follows:
If a transactions Dollar Volume > $5K, it counts as one qualified
report.
If a transactions Dollar Volume < $5K, it counts as a
proportional fraction of a qualified report that equals the dollar
volume of the transaction report divided by $5K.
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Slide 14
August 4, 2006 Final Version 3.0
Step SIA2: Compute Additional Security Income
Status Step # Step Rule Examples/Comments
SIA2.0 Computeadditional
security
income
Addit ionalsecurity Income allocation =
SUM (Distributable Net Income for calendar year by Network A or B
X Dollar Volume % for Eligible Security - $4 X Total # Qualified
Transaction Reports for an Eligible Security) X Proportionate Dollar
Volume of an Eligible Security.
Proportionate Dollar Volume of an Eligible Security = Dollar Volume
of Eligible Transaction Reports for a security SUM (Dollar Volumeof Eligible Transaction Reports for EACH security).
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Slide 15
August 4, 2006 Final Version 3.0
Step SIA3: Compute Final Security Income
Status Step # Step Rule Examples/Comments
SIA3.0 Computefinal
security
income
The f inalSecurity Income Allocation for each Security is used in the
calculation of the Trading Share and Quoting Share, which are
defined in the Calculation Process on slide #59.
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Quote Process
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Slide 17
August 4, 2006 Final Version 3.0
Step Q1
Collect allquotes
(slides 18 to 20)
Step Q2:Remove
ineligiblequotes
(slides 21 to 22)
Step Q3:Computeadjusted
price(slides 23 to 38)
Step Q5:Discardlocks &crosses
(slides 39 To 44)
Step Q4:Compute
RBBO(slides 45 To 47)
Step Q6:Computequotes
duration atRBBO
(slides 48 To 50)
Step Q7:Adapt
quotes forsize
(slides 51 To 55)
Process Overview: The Quote Process
23:59:59:990:00:00:00
Twenty-four hour period
Trading day
All plan participants
Ineligiblequotes
Quotesnot
qualifiedfor credit
Quotes that lockor cross after
price is adjusted
Calculationprocess
Securityincome
allocationprocess
Trade process
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Slide 18
August 4, 2006 Final Version 3.0
Key #1: Example for bids or offers
Market A
Size XXXQuote #Y
Market B
Size XXXQuote #Y
Market C
Size XXXQuote #Y
Market D
Size XXXQuote #Y
Market CSize XXXQuote #Y
09:30:00 09:30:02 09:30:03 09:30:04 09:30:05 09:30:06 09:30:07 09:30:0809:30:01
Market C
Size XXXQuote #Y
Market C
Size XXXQuote #Y
Notes
The duration of a quote is measured from its start time until it is replaced by a new quote from the same market orthe market stops quoting. Time stamps from the SIP outbound feed will be applied.
For purposes of credit, quotes are adjusted to fit within fixed time periods of 1/10 seconds, and credit is calculatedin these increments. (This process is described elsewhere in this document.)
50.11
50.08
50.09
50.10Market A
Size XXXQuote #Y
A quote
Start time =hh:mm:ss:ms
End time =hh:mm:ss:ms
Market
SizeQuote #
Price
A flickering quote
A qualifying quote atthe best price
A qualifying quote not
at the best price
Multiple quotes atthe same price
Clock time
Calculations &representations based on
bids
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Slide 19
August 4, 2006 Final Version 3.0
General Notes
Quotes shown in this document are for illustrative purposes and
may not represent real market conditions. For example, forsimplicity examples may show isolated quotes rather than a setof consecutive related quotes as they are more likely to occurunder real market conditions.
Quote #s are used as unique identifiers so that they can bepointed out in the text accompanying each example. Quote #sdo not indicate any order or time sequence.
Representations and calculations are presented for bids.Comparable representations could have been developed foroffers.
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Slide 20
August 4, 2006 Final Version 3.0
09:30:02 09:30:03 09:30:04 09:30:05 09:30:06 09:30:07 09:30:0809:30:01
50.11
50.08
50.09
50.10
Quote #1B
Start time = 09:30:00:18 (CTA Open)
End time = 09.30.01.00
Quote #1
End time = 09:30:00:80
(UTP)
Market A
Size 100
Quote #1
Quote #2
Start time = 09:30:00:80
Market ASize 100Quote #2
Quote #2
End time =09:30:03:50
Market B
Size 100Quote #3
Examp le A Definitions Q0: Acceptable Time PeriodsPrimary
Market
Open (UTP)
PrimaryMarket
open (CTA)
Quote #1
Start time =09:30:00:00(UTP Open)
Quote #3
Start time =
09:30:01:40
Quote #3
End time =09:30:04:10
09:30:00.00
09:30:00:18
(CTA)
Market Z
Size 100Quote #1B
Calculations & representationsbased on bids
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Slide 21
August 4, 2006 Final Version 3.0
Table 2: Intended Opening Times
Tape A Tape B Nasdaq listed
Issues All Issues Equities ETFs All Issues
Method Primary Market open/close Clock time Clock time Clock time
Open Market Open message 9:30 AM EST 9:30 AM EST 9:30 AM EST
Close Market Closed message 4:00 PM EST 4:15 PM EST 4:00 PM ESTIndicator
Subject to change by each Plan.
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Slide 22
August 4, 2006 Final Version 3.0
Definitions Q0: Acceptable Time Periods
Status Definition # Definition Examples/Comments
Revised
12/06/05
Subject to
further
definition
by each
Plan or
SIP
Q0.0 All markets are eligible for credit on their quotes
reported from the beginning to the end of the tradingday determined by the policies of each Plan inaccordance with Rule 605 (formerly Rule 11Ac1-5).Open/close times may vary on certain days such asthe day before some holidays.
All quotes existing at market open will automaticallyreceive a start time that is the same as the primarymarket open clock time.
All quotes existing at market close will automaticallyreceive an end time that is the same as the primarymarket close clock time.
UTP decides that its trading day will be defined
by fixed clock times (e.g., 09:30 16:00),whereas CTA policy sets its trading day by theopening and closing message from its primarymarket each day. In the case of ExchangeTraded Funds (ETFs) the end of the tradingday is approximately 16:15. Therefore:
Although Market A Quote #1 exists prior toprimary market open, for the purpose ofcalculating revenue its start time is set at the
same as UTP primary market open, which isfixed at clock time of 09:30:00:00 on normaltrading days.
Market Z Quote #1B also exists prior to itsprimary market open, but its start time is set atthe CTA market open as defined by a market-open message from the primary exchange,which occurs on this day at 09:30:00:18.
Note: These examples are illustrative only
since each Plan will define its own policies.
Revised1/6/05
Q0.1 Quotes will continue to be eligible for quote creditduring non-regulatory trading halts. However, duringa regulatory halt mandating that trading in a securitybe halted in all markets, no quotes will be eligible forcredit. Each Plan must establish a method ofnotification when a regulatory trading haltisended.Once the halt has been lifted, markets must re-establish their quotes to be eligible for credit.
See Appendix 5 and Appendix 6 (respectively)for CTA and UTP procedures.
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Slide 23
August 4, 2006 Final Version 3.0
Status Definition # Definition Examples/Comments
Revised11/24/05 Q0.1.1 Each quote is measured to the nearest millisecond fromthe time it is posted until the time it is replaced by a newquote from the same market. The time stamp from theSIP outbound feed will be applied.
In Example A, Quote #1 is in force based onthe time stamp when it is entered(09:30:00:00) until the time when it isreplaced by Quote #2 (09:30:00:80).
Revised3/5/06
Q0.1.2 A quote remains in force until it is replaced by a new quotefrom the same market. A quote also ceases to be in forceif it is cancelled or otherwise withdrawn.
In Example A, Market As Quote #2 remainsin force until replaced by another quote fromMarket A (not shown) at 09:30:03:50. Notethat it is superceded as the best quote byMarket Bs Quote #3 at 09:30:01:40.
Q0.1.3 Each market may have only one best quote in force at any
one time. Therefore, a new best quote from a marketplaceautomatically replaces that markets previous best quote,even if that change is only in size.
In Example A, the posting of Quote #2 as
Market As best price automatically replacesMarket As Quote #1.
Revised12/31/05
Q0.2 While quotes are measured to the millisecond, forpurposes of calculating credit, each second of the tradingday is divided into periods of 1/10th second. The purposeof these divisions is explained in quote qualification rulesthat follow.
Definition Q0: Acceptable Time Periods (cont.)
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Slide 24
August 4, 2006 Final Version 3.0
Step Q1
Collect allquotes
Step Q2:Remove
ineligiblequotes
Step Q3:Computeadjusted
price
Step Q5:Discardlocks &crosses
Step Q4:Compute
RBBO
Step Q6:Computequotes
duration atRBBO
Step Q7:Adapt
quotes forsize
The Quote Process : Step Q1 - Collect All Quotes
Twenty-four hour period
Trading day
All plan participants
Ineligiblequotes
Quotesnot
qualifiedfor credit
Quotes that lockor cross after
price is adjusted
Calculationprocess
Trade process
Securityincome
allocationprocess
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Slide 25
August 4, 2006 Final Version 3.0
Examp le B Step Q1: Markets get credit for a qualifyingquotes duration at the best price
09:30:00 09:30:02 09:30:03 09:30:04 09:30:05 09:30:06 09:30:07 09:30:0809:30:01
50.11
50.08
50.09
50.10
Quote #1
Start time =09:30:00:00
Quote #1
End time = 09:30:03:40
Market ASize 100Quote #1
Market BSize 100Quote #2
Market B
Size 100Quote #3
Quote #2
End time = 09:30:05:10
Quote #3
Start time = 09:30:05:10
Quote #3
End time = 09:30:08:10
Market A gets credit
Market B gets creditMarket B gets credit
Quote #2
Start time = 09:30:03:20
Calculations & representationsbased on bids
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Slide 26
August 4, 2006 Final Version 3.0
Status Step # Step Rule Examples/Comments
New
12/6/05Q1.0 Collect
quotesAn existing quote is maintained by the SIPuntil it is replaced by a new quote from thesame market or the market notifies the SIPthat it is no longer supplying a valid quoteand requests that the SIP remove theirquote.
Market B Quote #2 is replaced by a new quote (#3)from the same market at 09:30.05:10.
New12/13/05
Q1.1 While a quote is often considered to includeboth a bid and an offer, for purposes ofrevenue credit the bid and offer areconsidered independently.
The SIPs will accept both one sided quotes and oneautomated side, one manual side, two sided quotes.
Step Q1: Collect All Quotes
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August 4, 2006 Final Version 3.0
Step Q1
Collect allquotes
Step Q2:Remove
ineligiblequotes
Step Q3:Computeadjusted
price
Step Q5:Discardlocks &crosses
Step Q4:Compute
RBBO
Step Q6:Computequotes
duration atRBBO
Step Q7:Adapt
quotes forsize
The Quote Process: Step Q2 Remove Ineligible Quotes
23:59:59:9900:00:00:00
Twenty-four hour period
Trading day
All plan participants
Ineligiblequotes
Quotesnot
qualifiedfor credit
Quotes that lockor cross after
price is adjusted
Calculationprocess
Trade process
Securityincome
allocationprocess
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Slide 28
August 4, 2006 Final Version 3.0
Status Step # Step Rule Examples/Comments
New1/3/05
Q2.0 Removeineligiblequotes
To be eligible a quote must be an automated quotation,
defined as a quotation displayed by a trading center that:
Permits an incoming order to be marked as immediate-or-
cancel;
Immediately and automatically executes an order marked as
immediate-or-cancel against the displayed quotation up to its
full size;
Immediately and automatically cancels any unexecuted portion
of an order marked as immediate-or-cancel without routing the
order elsewhere;
Immediately and automatically transmits a response to the
sender of an order marked as immediate-or-cancel indicating
the action taken with respect to such order; and
Immediately and automatically displays information that
updates the displayed quotation to reflect any change to its
material terms.
Slow quotes are also not eligible.
In addition each Plan may have specific quote types andconditions that render a quote ineligible for credit. These arefound in Appendix 5 for CTA and Appendix 6 for UTP.
Example B, Step Q2: Remove Ineligible Quotes
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Slide 29
August 4, 2006 Final Version 3.0
Step Q2:Removeineligiblequotes
Non-automatedquotes
Quotes notqualified for
credit
The Quote Process Step Q3: Compute Adjusted Price
Step Q3.1:CalculateMarket worst offer
Step Q3.1:Calculate
Market A worstoffer
Step Q3.1:Calculate
Market B worstoffer
Step Q3.1:CalculateMarket C
worst offer
Step Q3.2:CalculateMarket A
adjusted offer
Step Q3.2:CalculateMarket B
adjusted offer
Step Q3.2:CalculateMarket C
adjusted offer
Step Q3.2:Market
adjusted offercalculation
Step Q3
Bidcalculations
Step Q5:Discardlocks &crosses
Step Q4:Compute
RBBO
Step Q6:Computequotes
duration atRBBO
Step Q7:Adapt
quotes forsize
Quotes that lockor cross after
price is adjusted
Calculationprocess
Trade processSecurityincome
allocationprocess
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Slide 30
August 4, 2006 Final Version 3.0
Step Q3: Quote Credit General RulesStatus Step # Step Rule Examples/Comments
12/24/05 Q3.0 Flickerremovalprocess
A market receives credit for a quote for the time that its quote is atthe best price. Exceptions to this rule are explained elsewhere inthis document.
For background to understandwhy this algorithm was selected,please see Appendix 3.
Revised1/6/06
Q3.0.1 Quote durations are credited in whole units of the minimum creditinterval (one second increments) plus any fragments of theminimum credit interval once the one second requirement has beensatisfied.
12/31/05 Q3.0.2 If, during any minimum credit interval, the quotes remainunchanged the quotes credit is apportioned based on the length oftime a quote remains at the BBO and for the size of that quote asdefined in Steps Q6 and Q7 below.
Revised
3/6/06
Q3.0.3 If, during any time interval, there are multiple quote changes withdurations of less than one minimum quote interval, then thefollowing process will be used to determine whether a quotequalifies for credit:
For each market participant, calculate the worst price quote(lowest bid/highest offer) within each fixed time period (1/10second).
Calculate the Revenue BBO (RBBO) the best price fromamong all adjusted quotes for each fixed time period.
Apply rules to discard locks and crosses.
Determine whether a series of adjusted quotes qualify for creditbased on being collectively at the RBBO for at least theminimum credit interval (1 second).
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Slide 31
August 4, 2006 Final Version 3.0
Market A
Size 100
Quote #9
Market A
Size 100
Quote
#11
Market A
Size 200
Quote
#12
Market A
Size 300
Quote
#10
Market A
Size 200
Quote
#6
Examp le C-1Step Q3.1: Calculate the Worst Bid and Worst Offer
09:30:00 09:30:01 09:30:02
50.11
50.08
50.09
50.10
1 2 3 4 5 6 7 8 9 0
Mkt A
Size 100
Quote
#1
Mkt A
Size 600
Quote
#3
Mkt A
Size 300
Quote
#5
Mkt A
Size 400
Quote
#2
1 2 3 4 51 2 3 4 5 6 7 8 9 0
Mkt A
Size 200
Quote
#4
Market A
Size 200
Quote
#8
Mkt A
Size 100
Quote
#7
Fixed Time Period
currently set at 1/10 second
For each market participant, and independently for its bids and offers,determine the worst bid/offer within each fixed time period (currently
set at 1/10 second).
Calculations & representationsbased on bids
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August 4, 2006 Final Version 3.0
Market A
Size 100
Quotes #8/9/10
Market A
Size 100
Quotes
#10/11/12
Market A
Size 200
Quote
#12
Market A
Size 200
Quote
#6
Examp le C-2 Step Q3.1: Calculate the Worst Bid and WorstOffer
09:30:0009:30:01
09:30:02
50.11
50.08
50.09
50.10
1 2 3 4 5 6 7 8 9 0
Mkt A
Size 300
Quote
#5
Mkt A
Size 400
Quotes
#1/2
1 2 3 4 51 2 3 4 5 6 7 8 9 0
Mkt A
Size 200
Quotes
#3/4/5
Market A
Size 200
Quote
#8
Mkt A
Size 100
Quotes
#7/8
Results of the worst bid/offer calculation
Calculations & representationsbased on bids
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Slide 33
August 4, 2006 Final Version 3.0
Status Step # Step Rule Examples/Comments
12/29/05 Q3.1 Calculate
adjustedprice:Calculateworst
A trading day is divided into fixed time periods
based on clock time from market open throughmarket close. Fixed time period is a parametercurrently set at 1/10 second.
Revised12/30/05
Q3.1.1 Worst price is calculated as each marketparticipants lowest bid price or highest offer pricewithin each fixed time period.
During the fixed time period ending at9:30:00.1, Market As Quote #2 at 50.08 isits lowest bid and therefore becomesMarket As worst price bid for that fixedtime period.
Revised1/3/05
Q3.1.2 The Worst Price Calculation assigns size to thedesignated worst price quote in each fixed timeperiod by selecting the least size of any quoteoccurring at the worst price within that time period.The size for each fixed time period is further refinedin Step 7.
During the fixed time period ending at9:30:00.1, Market As designated worstquote is assigned a size of 400 since it isthe lowest size of any of its worst pricequotes during the fixed time period.
Similarly, during the fixed time periodending at 9:30:00.9, Market As designatedworst quote is assigned a size of 100since it is the lowest size of any of its worstprice quotes during the fixed time period.
Example C Step Q3.1: Calculate the Worst bid and Worst Offer
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End Time
WorstPrice MinAhead
AdjustedPrice
9:30:00.0 50.07$ 50.07$ 50.07$9:30:00.1 50.07$ 50.07$ 50.07$9:30:00.2 50.10$ 50.10$ 50.10$9:30:00.3 50.10$ 50.10$ 50.10$
9:30:00.4 50.11$ 50.11$ 50.11$9:30:00.5 50.11$ 50.11$ 50.11$
9:30:00.6 50.11$ 50.11$ 50.11$9:30:00.7 50.12$ 50.12$ 50.12$9:30:00.8 50.12$ 50.12$ 50.12$
9:30:00.9 50.12$ 50.10$ 50.12$9:30:01.0 50.12$ 50.10$ 50.12$
9:30:01.1 50.12$ 50.10$ 50.12$9:30:01.2 50.13$ 50.09$ 50.12$
9:30:01.3 50.12$ 50.09$ 50.12$9:30:01.4 50.12$ 50.09$ 50.12$9:30:01.5 50.12$ 50.09$ 50.12$
9:30:01.6 50.12$ 50.09$ 50.12$9:30:01.7 50.12$ 50.09$ 50.12$
9:30:01.8 50.10$ 50.09$ 50.10$9:30:01.9 50.10$ 50.09$ 50.10$9:30:02.0 50.10$ 50.09$ 50.10$
9:30:02.1 50.09$ 50.09$ 50.09$9:30:02.2 50.09$ 50.09$ 50.09$9:30:02.3 50.09$ 50.09$ 50.09$
9:30:02.4 50.09$ 50.09$ 50.09$9:30:02.5 50.09$ 50.09$ 50.09$9:30:02.6 50.09$ 50.09$ 50.09$9:30:02.7 50.09$ 50.09$ 50.09$
Market A
Examp le D Step Q3.2: Calculate Adjusted Price
For each market center compare each worst bidand each worst offer with its bids and offers during
the previous nine 1/10ths of second and thefollowing nine 1/10ths of second to find the mostrepresentative price around the current quote.
In each period, findthe minimum worst
price by lookingahead 10 periods
In each period, findthe best MinAhead
price by looking
back 10 periods
The goal is to find which of theten possible one secondminimum credit intervalsaround a given 1/10 of asecond fixed time period hasthe highest minimum price. Thelogic is as follows:
In each time period, determinethe minimum worst price forthat time period and the ninefollowing time periods(MinAhead).
Then, determine the adjustedprice as the greatest of theMinAhead values for thecurrent time period and thenine previous periods.
The logic for offers is similarbut not identical.
Calculations & representationsbased on bids
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Status Step # Step Rule Examples/Comments
12/29/05 Q3.2 Calculateadjustedprice
To deal with the problem of flickering quotes, allquote credits will be calculated using adjustedprices.
Revised3/7/06
Q3.2.1 All quotes must be converted into adjusted pricesusing the following process:
1. For each market calculate its worst price quotewithin each fixed time period (currently set at 1/10second) throughout the trading day.
2. For each market, apply the bid or offer PriceAdjustment Algorithm to the worst price in eachfixed time period as derived in Step Q1.
Examp le D Step Q3.2: Calculate Adjusted Price
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Status Step # Step Rule Example/Comments
Revised
1/6/06
Q3.2.2 Calculate
adjustedprice
The Price Adjustment Algorithm for bids is defined as follows:
In each time period, determine the minimum worst price for that time periodand the nine following time periods (MinAhead).
Then, determine the adjusted price as the best of the MinAhead values forthe current time period and the nine previous periods.
The algorithm is described in this formula:
B10=Max(Min(A{1+i}:A{10+i}),i=09)
Where:
1) A10 is the cell with the markets worst bid for the current fixed timeperiod (1/10 second) for which the adjusted price is being calculated
2) A{n} is the cell with the markets worst bid for the nthfixed time periodfrom nine time periods prior to nine time periods after the current f ixedtime period
3) B10 is the cell with the markets adjusted price for the current fixed
time period.
This formula applies to
bids only.
Further examples areincluded in Appendix 3
Examp le D Step Q3.2: Calculate Adjusted Price forBids
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Status Step # Step Rule Examples/Comments
New
12/30/05
Q3.3 Calculate
adjustedprice
The Price Adjustment Algorithm for offers is defined as follows:
In each time period, determine the maximum worst price for that timeperiod and the nine following time periods (MaxAhead).
Then, determine the adjusted price as the best of the MaxAhead valuesfor the current time period and the nine previous periods.
The algorithm is described in this formula:
B10=Min(Max(A{1+i}:A{10+i}),i=09)
Where:
1)A10 is the cell with the markets worst offer for the current fixed timeperiod (1/10 second) for which the adjusted price is being calculated
2)A{n} is the cell with the markets worst offer for the nthfixed timeperiod from nine time periods prior to nine time periods after the currentfixed time period
3)B10 is the cell with the markets adjusted price for the current fixed
time period.
Examp le D Step Q3.2: Calculate Adjusted Price for Offers
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0 1
Example E* The adjusted bid price is the largest (max.) of the lowest (min.)worst prices for 10 successive 1/10THsecond periods around and including
the current period
Next 9 1/10ths of a secondPrevious 9 1/10ths of a second
Quotes #9/10
Quotes
#10/11/12
Quote
#13
Quote
#19
09:30:02 09:30:03 09:30:04
50.11
50.08
50.09
50.10
Quote
#18
Quotes
#14
Quotes
#15/16/17
Quote
#21
Quotes
#20
1 2 3 4 5 6 7 8 9 0 1 2 3 4 5 6 7 8 9 2
Cur
rent1/10th
second
Maximum =$50.09 =
adjusted price
Calculations & representations based on bids
Second 1
Second 1
Quotes #22/23/24
Second 2
Second 3
Second 4
Second 5
Second 6
Second 7
Second 8
Second 9
Second 10
098
MinAhead
50.08
50.08
50.08
50.08
50.08
50.08
50.08
50.08
50.08
50.09
* Additional examples showing other price movements can be found in Appendix 3
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Step Q1
Collect allquotes
Step Q2:Remove
ineligiblequotes
Step Q3:Computeadjusted
price
Step Q5:Discardlocks &crosses
Step Q4:Compute
RBBO
Step Q6:Computequotes
duration atRBBO
Step Q7:Adapt
quotes forsize
The Quote Process Step Q4: Calculate Revenue Best
Bid/Offer
Twenty-four hour period
Trading day
All plan participants
Ineligiblequotes
Quotesnot
qualifiedfor credit
Quotes that lockor cross after
price is adjusted
Calculationprocess
Trade process
Securityincome
allocation
process
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End Time
WorstPrice
AdjustedPrice
WorstPrice
AdjustedPrice
WorstPrice
AdjustedPrice
FormulaBest Bid
9:30:00.0 50.07$ 50.07$ 20.00$ 20.00$ 50.07$ 50.07$ 50.07$
9:30:00.1 50.07$ 50.07$ 21.00$ 21.00$ 50.07$ 50.07$ 50.07$9:30:00.2 50.10$ 50.10$ 23.00$ 23.00$ 50.07$ 50.07$ 50.10$9:30:00.3 50.10$ 50.10$ 23.00$ 23.00$ 50.07$ 50.07$ 50.10$
9:30:00.4 50.11$ 50.11$ 50.09$ 50.09$ 50.07$ 50.07$ 50.11$
9:30:00.5 50.11$ 50.11$ 50.09$ 50.09$ 50.08$ 50.08$ 50.11$9:30:00.6 50.11$ 50.11$ 50.09$ 50.09$ 50.08$ 50.08$ 50.11$9:30:00.7 50.12$ 50.12$ 50.09$ 50.09$ 50.08$ 50.08$ 50.12$
9:30:00.8 50.12$ 50.12$ 50.15$ 50.09$ 50.08$ 50.08$ 50.12$9:30:00.9 50.12$ 50.12$ 50.15$ 50.09$ 50.08$ 50.08$ 50.12$9:30:01.0 50.12$ 50.12$ 50.09$ 50.09$ 50.08$ 50.08$ 50.12$
9:30:01.1 50.12$ 50.12$ 50.11$ 50.11$ 50.08$ 50.08$ 50.12$9:30:01.2 50.13$ 50.12$ 50.11$ 50.11$ 50.08$ 50.08$ 50.12$
9:30:01.3 50.12$ 50.12$ 50.11$ 50.11$ 50.08$ 50.08$ 50.12$9:30:01.4 50.12$ 50.12$ 50.11$ 50.11$ 50.08$ 50.08$ 50.12$
9:30:01.5 50.12$ 50.12$ 50.11$ 50.11$ 50.08$ 50.08$ 50.12$9:30:01.6 50.12$ 50.12$ 50.11$ 50.11$ 50.08$ 50.08$ 50.12$
9:30:01.7 50.12$ 50.12$ 50.11$ 50.11$ 50.08$ 50.08$ 50.12$9:30:01.8 50.10$ 50.10$ 50.11$ 50.11$ 50.08$ 50.08$ 50.11$9:30:01.9 50.10$ 50.10$ 50.11$ 50.11$ 50.08$ 50.08$ 50.11$9:30:02.0 50.10$ 50.10$ 50.11$ 50.11$ 50.08$ 50.08$ 50.11$
Market A Market B Market C
Examp le F Step Q4: Calculate the Revenue BBO
Calculations & representationsbased on bids.
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Status Step # Step Rule Examples/Comments
New12/30/05
Q4 CalculatetheRBBO
The revenue best bid/offer (RBBO) is the bestadjusted price among all markets.
For the 1/10th of a second 9:30:01.2,Market A has a bid of 50.12, Market B hasa bid of 50.11, and Market C has a bid of$50.08. Market As bid establishes theRBBO as $50.12 for that 1/10th of asecond.
Examp le F Step Q4: Calculate the RBBO
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Step Q1
Collect allquotes
Step Q2:Remove
ineligiblequotes
Step Q3:Computeadjusted
price
Step Q5:Discardlocks &crosses
Step Q4:Compute
RBBO
Step Q6:Computequotes
duration atRBBO
Step Q7:Adapt
quotes forsize
The Quote Process Step Q5: Discard Locks and Crosses
Twenty-four hour period
Trading day
All plan participants
Ineligiblequotes
Quotesnotqualifiedfor credit
Quotes that lockor cross after
price is adjusted
Calculationprocess
Trade process
Securityincome
allocationprocess
Clock time
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Market A
Size 200Quote #2
09:30:00 09:30:02 09:30:03 09:30:04 09:30:05 09:30:06 09:30:07 09:30:0809:30:01
Market A
Size 100Quote #1
Market B
Size 100
Quote #3
50.08
Market A
Size 200Quote #6
Market B
Size 100Quote #4
Key #2: Examples for locked and/or crossed markets
Market B
Size 11Quote #2
50.11
50.07
50.09
50.10
50.06
Market
Size
Quote #
Price A qualifying quote not at thebest price
An offer at the best
Market A
Size 200Quote #6
A bid at the best
A bid price indicator
Bid price
Offer price
An offer locking aqualifying bid at the best
An offer crossing aqualifying bid at the best
A qualifying quote thatlocks the best bid
A qualifying quote thatcrosses the best bid
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Market C
Size 200Quote #1
Example G; Step Q5.1: A quote locking or crossing a pre-existing quote
09:30:00 09:30:01 09:30:02
50.11
50.08
50.09
50.10
1 2 3 4 5 6 7 8 9 0 1 2 3 4 51 2 3 4 5 6 7 8 9 0
Market B
Size 100
Quote #3
Calculations & representationsbased on bids.
50.07
Market C
Size 1000
Quote #4
Market A
Size 200
Quote #2
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Status Step # Step Rule Examples/Comments
New
12/30/05
Q5.0 All calculations of crossed or locked markets are
based on adjusted quotes.
Revised1/11/06
Q5.1 Discardlocks &crosses
When a quote locks or crosses a market, thelocking or crossing quote receives no credit solong as the lock/cross continues. A pre-existingquote that is locked or crossed continues toreceive credit until it is no longer the best or thelock/cross is removed. Moreover, for the durationof the lock, no quote on the same side (bid oroffer) as the locking quote will receive any creditfor the duration of the lock or cross.
Market B gets no credit. From the time ofthe lock Market A ceases to get credit andthere is no credit given on the offer side.Market C continues to get credit because itremains at the best. Once the lock isremoved the new best offer (Market Aagain) gets offer credit.
Revised8/4/06
Q5.1.1 If a quote is crossed and is getting credit, andchanges its size during the period of the lock orcross, it will receive credit for the lower of size atthe time of the lock or the new size. A quote thathas not existed for a full minimum credit intervalat the time it is locked/crossed may becomeeligible for credit after it has existed at the best fora complete minimum credit interval provided all ofthe other conditions described herein aresatisfied.
Market C increases size to 1000 sharesafter the lock is initiated. For the duration ofthe lock, Market C only gets credit for 200shares, the lesser of the pre-existing sizeand the new size. (If the quote hadchanged from 200 shares to 100 shares at(9:30:00.9 the credit would be for 100shares.) After the lock is removed, MarketC receives credit at the new 1000 shareamount. In summary, a preexisting quoteat the best has its size capped at the size atthe time a lock/cross is initiated. Sizechanges to amounts lower than the cap aretreated according to normal size rules.
Example G, Step 5.1: A lock/cross of pre-existing quotes
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Market C
Size 100
Quote #1
Market A
Size 200
Quote #2
Example H; Step Q5.1.2: Quotes join an existingcross/locked situation
09:30:00 09:30:01 09:30:02
50.11
50.08
50.09
50.10
1 2 3 4 5 6 7 8 9 0 1 2 3 4 51 2 3 4 5 6 7 8 9 0
Market B
Size 100
Quote #3
Calculations & representationsbased on bids.
50.07
Market D
Size 100
Quote #5
Market C
Size 1000
Quote #4
Market E
Size 100Quote #6
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Status Step # Step Rule Examples/Comments
New
1/12/06
Q5.1.2 If a quote joins or crosses a pre-existing locked or
crossed market, it receives no credit so long as thelock or cross continues. Moreover, the preexistingquote it joins ceases to be eligible for credit for thelength of the lock or cross. As soon as a lock orcross is removed, all quotes become eligible forcredit.
Market D joins the bid during the lock and
gets no credit for the duration of the lock.By joining Market C, C no longer receivescredit and there is no Bid credit for theremainder of the lock (and subsequentcross.) When the lock is removed, MarketDs quote is no longer at the best.
Market E crosses the lock and gets nocredit so long as the lock remains. Whenthe lock is removed, Market E has the best
bid and becomes eligible for credit.
Example H, Step 5.1.2: A lock/cross of pre-existingquotes
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Step Q1
Collect allquotes
Step Q2:Remove
ineligiblequotes
Step Q3:Computeadjusted
price
Step Q5:Discardlocks &crosses
Step Q4:Compute
RBBO
Step Q7:Adapt
quotes forsize
The Quote Process Step Q6: Compute Each Quotes
Duration at the RBBO
Twenty-four hour period
Trading day
All plan participants
Ineligiblequotes
Quotesnot
qualifiedfor credit
Quotes that lockor cross after
price is adjusted
Step Q6
Step Q6:Calculate
Market Asquotes time at
RBBO
Step Q6:Calculate
Market Bsquotes time at
RBBO
Step Q6:Calculate
Market Cs
quotes time atRBBO
Step Q6:Calculate
Market 'squotes time at
RBBO
Calculationprocess
Trade process
Securityincome
allocationprocess
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End Time
WorstPrice
AdjustedPrice
Eligiblefor Credit
EarningCredit
WorstPrice
AdjustedPrice
Eligiblefor Credit
EarningCredit
WorstPrice
AdjustedPrice
Eligiblefor Credit
EarningCredit
FormulaBBO
9:30:00.0 50.07$ 50.07$ y y 20.00$ 20.00$ n n 50.07$ 50.07$ y n 50.07$
9:30:00.1 50.07$ 50.07$ y y 21.00$ 21.00$ n n 50.07$ 50.07$ y n 50.07$9:30:00.2 50.10$ 50.10$ y y 23.00$ 23.00$ n n 50.07$ 50.07$ n n 50.10$9:30:00.3 50.10$ 50.10$ y y 23.00$ 23.00$ n n 50.07$ 50.07$ n n 50.10$9:30:00.4 50.11$ 50.11$ y y 50.09$ 50.09$ n n 50.07$ 50.07$ n n 50.11$9:30:00.5 50.11$ 50.11$ y y 50.09$ 50.09$ n n 50.08$ 50.08$ n n 50.11$9:30:00.6 50.11$ 50.11$ y y 50.09$ 50.09$ n n 50.08$ 50.08$ n n 50.11$9:30:00.7 50.12$ 50.12$ y y 50.09$ 50.09$ n n 50.08$ 50.08$ n n 50.12$9:30:00.8 50.12$ 50.12$ y y 50.15$ 50.09$ n n 50.08$ 50.08$ n n 50.12$9:30:00.9 50.12$ 50.12$ y y 50.15$ 50.09$ n n 50.08$ 50.08$ n n 50.12$9:30:01.0 50.12$ 50.12$ y y 50.09$ 50.09$ n n 50.08$ 50.08$ n n 50.12$9:30:01.1 50.12$ 50.12$ y y 50.11$ 50.11$ n n 50.08$ 50.08$ n n 50.12$9:30:01.2 50.12$ 50.12$ y y 50.11$ 50.11$ n n 50.08$ 50.08$ n n 50.12$
9:30:01.3 50.13$ 50.12$ y y 50.11$ 50.11$ n n 50.08$ 50.08$ n n 50.12$9:30:01.4 50.12$ 50.12$ y y 50.11$ 50.11$ n n 50.08$ 50.08$ n n 50.12$9:30:01.5 50.12$ 50.12$ y y 50.11$ 50.11$ n n 50.08$ 50.08$ n n 50.12$9:30:01.6 50.12$ 50.12$ y y 50.11$ 50.11$ n n 50.08$ 50.08$ n n 50.12$9:30:01.7 50.12$ 50.12$ y y 50.11$ 50.11$ n n 50.08$ 50.08$ n n 50.12$9:30:01.8 50.10$ 50.10$ n n 50.11$ 50.11$ y n 50.08$ 50.08$ n n 50.11$9:30:01.9 50.10$ 50.10$ n n 50.11$ 50.11$ y n 50.08$ 50.08$ n n 50.11$9:30:02.0 50.10$ 50.10$ n n 50.11$ 50.11$ y n 50.08$ 50.08$ n n 50.11$9:30:02.1 50.09$ 50.09$ n n 50.11$ 50.11$ y n 50.08$ 50.08$ n n 50.11$9:30:02.2 50.09$ 50.09$ n n 50.11$ 50.11$ y n 50.08$ 50.08$ n n 50.11$9:30:02.3 50.09$ 50.09$ n n 50.11$ 50.11$ y n 50.08$ 50.08$ n n 50.11$9:30:02.4 50.09$ 50.09$ n n 50.11$ 50.11$ y n 50.08$ 50.08$ n n 50.11$
9:30:02.5 50.09$ 50.09$ n n 50.11$ 50.11$ y n 50.07$ 50.07$ n n 50.11$9:30:02.6 50.09$ 50.09$ y y 21.00$ 21.00$ n n 50.07$ 50.07$ n n 50.09$9:30:02.7 50.09$ 50.09$ y y 21.00$ 21.00$ n n 50.07$ 50.07$ n n 50.09$9:30:02.8 50.09$ 50.09$ y y 20.00$ 20.00$ n n 50.07$ 50.07$ n n 50.09$9:30:02.9 50.09$ 50.09$ y y 20.00$ 20.00$ n n 50.07$ 50.07$ n n 50.09$9:30:03.0 50.09$ 50.09$ y y 20.00$ 20.00$ n n 50.08$ 50.08$ n n 50.09$9:30:03.1 50.10$ 50.09$ y y 20.00$ 20.00$ n n 50.08$ 50.08$ n n 50.09$9:30:03.2 50.10$ 50.09$ y y 20.00$ 20.00$ n n 50.08$ 50.08$ n n 50.09$9:30:03.3 50.10$ 50.09$ y y 20.00$ 20.00$ n n 50.08$ 50.08$ n n 50.09$9:30:03.4 50.10$ 50.09$ y y 21.00$ 20.00$ n n 50.08$ 50.08$ n n 50.09$9:30:03.5 50.10$ 50.09$ y y 21.00$ 20.00$ n n 50.08$ 50.08$ n n 50.09$
Market A Market B Market C
Example IStep Q6: Compute Each Quotes Duration at the RBBO
Eligible forcreditbecauseprices are atthe RBBObut does notqualify forcreditbecause themarket isnot atRBBO for atleast theminimumcredit
interval (1second)
Best price
among theadjustedprices fromall markets
Calculations& represent-ations based
on bids
Eligible forcreditbecauseprices are atthe RBBOand qualifies
for creditbecause themarket is atRBBO for atleast theminimumcredit interval(1 second)
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Status Step # Step Rule Examples/Comments
New
12/30/05
Q6 Compute
eachquotesdurationa theRBBO
Each quote is compared to the RBBO and marked as
eligible (equal to the RBBO) or ineligible (worsethan the RBBO). If the price for at least 10consecutive fixed price intervals is equal to theRBBO, then the period is marked as earning credit.
Market A earns credit for its quotes for the
fixed time periods during 9:30:00.0 through9:30.01.7 because its quotes remain at theRBBO for at least 10 consecutive fixed timeperiods of 1/10thsecond each. The samecondition holds true for Market As quotesfrom 9:30:02.6 through 9:30:03.5, so it alsoearns credit for these quotes..
By contrast, Market Cs quotes for theperiod from 9:30:00.0 through 9:30:00.1 are
eligible for credit because they are at theRBBO, but do not earn credit because theydo not remain at the RBBO for at least 10consecutive fixed time periods.
Examp le IStep Q6: Compute Each Quotes Duration at RBBO
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Market ASize 200Quote
#2
09:30:00 09:30:02 09:30:03 09:30:04 09:30:05 09:30:06 09:30:07 09:30:0809:30:01
Market A
Size 100Quote
#1
Market B
Size 100Quote #7
50.11
50.08
50.09
50.10Market B
Size 200Quote #8
Second 5
Second 2
Second 7Second 1
Second 6
Mkt ASize 400Quote
#3
Mkt ASize 300
Quote#4
Mkt ASize 200Quote
#5
Mkt ASize 100Quote
#6
Second 3
Market D
Size 100Quote #10
Market ESize 200Quote #9
Examp le JStep Q7: Modify Each Earning Quote with Size(part 1)
Second 4
Market C
Size 100Quote #11
Calculations & representationsbased on bids
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Status Step # Step Rule Examples/Comments
Q7.0 Modifyearningquoteswith size
Markets get quote credit for both theirduration and for the size of the quotesthat qualify for credit.
Revised12/6/05
Q7.1 All markets with a qualifying quote atthe best price earn credit regardless ofthe size of their quotes.
Market E (Quote #9) and Market D (Quote #10) earn quotecredit because they are at the best price, even though theyare at different sizes.
Examplesrevised11/28/05
Q7.2 Markets get quote credit at the size ofeach qualifying quote.
Market E Quote #9 earns credit at size 200 whereas MarketD Quote #10 earns credit at size 100.
Examp le J Step Q7: Modify Each Earning Quote with Size(part 1)
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Start
Time
Worst
Price
Adjusted
Price
Worst
Size
Earning
Credit
Credit
Price
Credit
Size
Lesser of
Min or
Med
Min Size
during
fragement
10ths Min_Size
Median
Size Duration
Formula
BBO
Market A
Credit
9: 30:00. 0 50.07$ 50.07$ 600 y 50.07 300 300 300 300 600 1.0 50.07$ 15021
9: 30:00. 1 50.07$ 50.07$ 300 y 300 0 300 600 50.07$
9: 30:00. 2 50.10$ 50.10$ 400 y 400 0 400 600 50.10$
9: 30:00. 3 50.10$ 50.10$ 700 y 650 0 700 650 50.10$
9: 30:00. 4 50.11$ 50.11$ 300 y 300 0 300 600 50.11$
9: 30:00. 5 50.11$ 50.11$ 400 y 400 0 400 800 50.11$
9: 30:00. 6 50.11$ 50.11$ 1,000 y 1000 0 1000 1,000 50.11$
9: 30:00. 7 50.12$ 50.12$ 600 y 100 0 100 1,000 50.12$
9: 30:00. 8 50.12$ 50.12$ 600 y 100 0 100 1,000 50.12$
9: 30:00. 9 50.12$ 50.12$ 600 y 500 0 500 1,000 50.12$
9: 30:01. 0 50.12$ 50.12$ 1,000 y 50.12 100 500 100 500 1,000 0.8 50.12$ 4009.6
9: 30:01. 1 50.12$ 50.12$ 1,000 y 500 0 500 750 50.12$
9: 30:01. 2 50.12$ 50.12$ 1,000 y 400 0 400 500 50.12$
9: 30:01. 3 50.13$ 50.12$ 100 y 400 0 400 500 50.12$
9: 30:01. 4 50.12$ 50.12$ 1,000 y 400 0 400 500 50.12$
9: 30:01. 5 50.12$ 50.12$ 1,000 y 400 0 400 500 50.12$
9: 30:01. 6 50.12$ 50.12$ 1,000 y 400 0 400 500 50.12$
9: 30:01. 7 50.12$ 50.12$ 100 y 400 0 400 500 50.12$
9: 30:01. 8 50.10$ 50.10$ 500 n 400 0 400 500 50.11$
9: 30:01. 9 50.10$ 50.10$ 500 n 400 0 400 500 50.11$
9: 30:02. 0 50.10$ 50.10$ 500 n 400 0 400 450 50.11$
9: 30:02. 1 50.09$ 50.09$ 400 n 400 0 400 400 50.11$
9: 30:02. 2 50.09$ 50.09$ 500 n 400 0 400 400 50.11$
9: 30:02. 3 50.09$ 50.09$ 500 n 400 0 400 400 50.11$
9: 30:02. 4 50.09$ 50.09$ 500 n 400 0 400 400 50.11$
9: 30:02. 5 50.09$ 50.09$ 500 n 400 0 400 400 50.11$
9: 30:02. 6 50.09$ 50.09$ 400 n 400 0 400 400 50.11$
9: 30:02. 7 50.09$ 50.09$ 400 n 400 0 400 400 50.11$
9: 30:02. 8 50.09$ 50.09$ 400 n 400 0 400 400 50.11$
9: 30:02. 9 50.09$ 50.09$ 400 n 400 0 400 400 50.11$
9: 30:03. 0 50.09$ 50.09$ 400 n 400 0 400 400 50.11$
9: 30:03. 1 50.10$ 50.09$ 400 y 50.09 400 400 400 400 700 1.0 50.09$ 20036
9: 30:03. 2 50.10$ 50.09$ 400 y 400 0 400 1,000 50.09$
9: 30:03. 3 50.10$ 50.09$ 400 y 1000 0 10000 1,000 50.09$
9: 30:03. 4 50.10$ 50.09$ 400 y 1000 0 10000 1,000 50.09$
9: 30:03. 5 50.10$ 50.09$ 400 y 1000 0 100000 1,000 50.09$
9: 30:03. 6 50.10$ 50.09$ 1,000 y 1000 0 1000 1,000 50.09$
9: 30:03. 7 50.09$ 50.09$ 1,000 y 1000 0 1000 1,000 50.09$
9: 30:03. 8 50.09$ 50.09$ 1,000 y 1000 0 1000 1,000 50.09$
9: 30:03. 9 50.09$ 50.09$ 1,000 y 1000 0 1000 1,000 50.09$
9: 30:04. 0 50.09$ 50.09$ 1,000 y 1000 0 1000 1,000 50.09$
9: 30:04. 1 50.09$ 50.09$ 1,000 y 50.09 1000 1000 1000 1000 1,000 0.1 50.09$ 2003.6
9: 30:04. 2 40.00$ 40.00$ 10,000 n 1000 0 1000 1,000 50.08$
9: 30:04. 3 50.07$ 40.00$ 10,000 n 1000 0 1000 1,000 50.08$
SummaryMarket A
Example K Step Q7: Modify Each Earning Quote with Size (part 2)
The adjusted size is the lesserof: a.the worst size displayedat the worst adjusted price; or
b .the median size during theminimum credit interval whenearning credi t.
Calculations & representationsbased on bids
Worst adjusted price during the minimumcredit interval
Worst size during theminimum credit interval
Credit for 1 second (minimum creditinterval) duration @ RBBO
Worst prices during interval
Worst size during interval
Adjusted size based onworst size
Adjusted size based onmedian size
Worst adjusted price during the fragmentWorst size during thefragment
Credit for 0.1 second fragment @ RBBO
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Status Step # Step Rule Examples/Comments
Revised
2/16/06
Q7.3 For any series of consecutive
adjusted prices lasting for theminimum credit interval, size isawarded at thelesserof:
a)the minimum size of the worstadjusted price (lowest bid/highestoffer) of all prices during thatminimum credit interval, or
b)the median size of the ten 1/10thsecond periods that comprise thatminimum credit interval (onesecond).
For minimum credit interval from 9:30:00.0 to 9:30:00.9 the
the worst size at the worst adjusted price is 300 shares andthe median size is 600 shares. Therefore the lesser is 300shares which becomes the adjusted size. The credit iscalculated as the worst price 50.07 * 300 for a full second or15021.
For minimum credit interval from 9:30:03.1 to 9:30:04.0 thethe worst size at the worst adjusted price is 400 shares andthe median size is 700 shares. Therefore the lesser is 400shares which becomes the adjusted size. The credit is theworst adjusted price 50.09 * 400 shares for 1 second or20036.
2/16/06 Q7.3.1 A fragment in excess of a wholenumber of minimum credit intervalswill be credited as a fraction of theminimum credit interval at the lesserof:
a)the minimum size at the worst
adjusted price of the 1/10ths withinthe fragment times the worstadjusted price during the fragment,or
b)the credits for the previous minimumcredit interval (I.e., 1 second) timesthe length of the fragment.
For the fragment from 9:30:01.0 to 9:30:01.7 the worstadjusted price is 50.12 and the minimum size is 100 shares.Credit is calculated as 50.12 *100 shares for credits of5012. The credits for the previous 1 second was 50.07*300shares or 15021. Therefore the lesser is 5,012 and thecredit for the fragment is 5012 * 0.8 seconds or 4009.6.
For the 1/10th second fragment at 09:30:04.1 the worstadjusted price is $50.09 and the worst size at the worstadjusted price is 1000 shares for credits of 50090. Thecredits for the previous 1 second was 50.09*400 shares or20036. Therefore the credit for the fragment is the lesser,or 20036 * 0.1 seconds or 2003.6.
Examp le K Step Q7: Modify Each Earning Quote with Size(part 2)
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Credit Calculation Process
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Steps C1 to C5: Calculation Process
Twenty-four hour period
Trading day
Trade process
Quote process
Step C1.0
Step C1.0ComputeMarket Astrade shareby security
Step C 3.0:Computetradingincome
allocation foreach market
Reportingprocess
Step C2.0:ComputeMarket As
quote shareby security Step C4.0:
Computequotingincome
allocation foreach market
StepC5.0:
Computetotal
incomeallocationfor eachmarket
Security incomeallocation
process
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Step C0: Calculation Process Overview
Status Step # Step Comments Examples
C0.0 Overview Each securitys Security Income Allocation is dividedamong the SRO Participants based on their tradingand quoting activity. Each Participant gets a:
Trading ShareAnd a:
Quoting Share
The annual payment to each Participant is the sum ofthe Participants Trading Shares and Quoting Sharesin each eligible security for the calendar year.
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Step C1: Compute Markets Trading Shares
Example
Data% of Participants Dollar Volume = 20%% of Participants Qualified Transaction reports = 31%Security Income Allocation = $300
Calculation 0.5 X $300 X AVERAGE (0.2, 0.31) = $38.25
Status Step # Step Rule Examples/Comments
C1.0 Computemarkets
trading
shares
50% of Security Income Allocation X Participants Trade Rating in theSecurity, where:Trade Rating =Average of Participants % of Total Dollar Volume for
Security and Participants % of Total # of Qualified TransactionReports.
S C2 C Q S
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Step C2: Compute Markets Quoting Shares
Status Step # Step Rule Comments
C2.0 Computemarkets
quotingshares
50 % of Security Income Allocation X Participants Quote Rating in the Security,
where:
Quote Rating = Sum of Participants Quote Credits (as calculated in the Quote
Process) for Security Sum of all Participants Quote Credits for a Security.
If Participants quote has been designated as earning in Quote Step 6, then the
Participant earns Quote Creditsfor each second of time X Dollar Value of Size
that their Quote Price (Bid and/Or Ask) = Price of RBBO.
Scenario 1 Scenario 2
Data A quotes = manualB quotes = automated
15:59:00:01 B Bid=9.99 Size=100 NBB
15:59:00:30 B Bid=10 Size=100 NBB
15:59:01:00 A Bid = 10 Size = 50
15:59:02:00 A Bid = 9.98 Size = 200
16:00:00:00 Regular trading hours ends
A quotes = automatedB quotes = automated
15:59:00:00 B Bid=10 Size=100 NBB
15:59:00:30 B Bid=10 Size=150 NBB
15:59:01:25 B Bid=10 Size = 50 NBB
15:59:02:00 A Bid = 10 Size = 50
15:59:03:03 A Bid = 9.98Size = 200
16:00:00:00 Regular trading hours ends
Calculation Quote Credit for B:
59 sec X $10 X100 shares = 59,000
Quote Credits for A: 0
Quote Credit for B:
1 sec X $10 X 100 shares = 1,000
59 sec X $10 X 50 shares = 29,500
Total = 30,500
Quote Credits for A:
1 sec X $10 X 50 shares = 500
St C3 t C5 C t M k t I All ti
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Steps C3 to C5: Compute Markets Income Allocation
Status Step # Step Rule Comments
C3.0 Computemarkets
incomeallocation
Compute each markets trade income allocation as the sum of all trade income
allocation for each security for the period.
C4.0 Compute each markets quoting income allocation as the sum of all quoting
income allocations for each security for the period
C5.0 Compute each markets total income allocation as the sum of the trade income
allocation and the quoting income allocation
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Reporting and Data Retention Processes
R ti d D t R t ti P
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Reporting and Data Retention Processes
Twenty-four hour period
Trading day
Trade process
Quote process
Steps R1-R3
Calculationprocess
Reporting
monthlyprocess
Dataretention
process
Monthlyallocations
Years data
Quarterlyallocations
Year-to-dateallocations
Reporting
quarterlyprocess
Reporting
annualprocess
Previousyears data
Participantpaymentprocess
D t Fil El t
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Data File Elements
The following data elements will be included in the data file that SIPs make availableto Plan Participants as per Rule R1.0.1:
Data Available for All Reporting PeriodsAdditional DataAvailable for Quarterly Reporting Only
For each Network Distributable Net Income
FOR TRADES
By Security Total dollar volume of Qualified Transaction Reports
Number of Qualified Transaction Reports
Percentage of total dollar volume of Qualified
Transaction Reports
Initial Security Income Allocation
Additional Security Income Allocation
Final Security Income Allocation
By Market
Participant in each
Security
Trade Rating
Total dollar volume of Qualified Transaction Reports
Percentage of total dollar volume of QualifiedTransaction Reports
Number of Qualified Transaction Reports
Percentage of total Qualified Transaction Reports
Trading Share
Security Income Allocation
FOR QUOTES
By Market
Participant for
each Security
Quote Rating
Quote Credits
Quoting Share
Security Income Allocation
Reports to provide breakdowns of data on daily, weekly, monthly, quarterly, and year-to-date periods.
St R1 P id D t t Pl P ti i t
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Step R1: Provide Data to Plan Participants
Status Step # Step Rule Examples/Comments
Revised
12/13/05
Subject
to further
definitionby each
Plan
R1.0 Reporting Each SIP will run and distribute its revenue allocation
calculations for each Plan every quarter within 5business days following the SIPs receipt of revenuedata from the Administrator of each plan at the end ofeach quarter.
New12/13/05
Subject
to furtherdefinition
by each
Plan
R1.0.1 SIPs will make available the results of the revenueallocation calculations for each Plan in the form of adata file containing the revenue allocation for eachmarket as well as underlying aggregated data that
participants can use to perform their own calculationsand generate their own reports.
Revised12/13/05
Subject
to furtherdefinition
by each
Plan
R1.2 SIPs will run and distribute the revenue allocationcalculations each month 5 business days followingthe close of each month. However, reporting doneprior to the end of each quarter will not show actualdollar revenue, but will show statistics for variousfactors underlying the revenue calculations.
Each month, the Income Allocation bySecurity report shows qualified trades,quote credits, and total dollar volume foreach security. The report calculates therevenue allocated to that security onlywhen the report is run at the close of eachquarter.
New12/2/05
Subjectto further
definition
by each
Plan
R1.3 Revenue allocations will be performed by using year-to-date data for each quarterly period.
While reports may show statistics fordaily, weekly, quarterly periods, theseinterim periods may not be summed tocalculate total income earned.
St R1 P id D t t Pl P ti i t ( t )
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Step R1: Provide Data to Plan Participants(cont.)
Status Step # Step Rule Examples/Comments
New12/2/05
Subject
to further
definition
by each
Plan
R1.4 Each plan will distribute revenue to its participants ona quarterly basis. Each plan will use year-to-datecalculations to adjust the money distributed for thecurrent period versus the preceding period(s). Eachplan may determine whether such adjustments occuron a quarterly or year-end basis.
Plan X does its revenue adjustments on aquarterly basis. Market A received$500,000 for Q1. After Q2, its total year-to-date allocation is calculated to be$950,000. It would receive a payment of$450,000 for Q2.
Plan Y does its revenue adjustments onan annual basis. Market A receivedpayments of $500,000, $525,000, and$550,000 for Q1, Q2, and Q3, respectively(=total 1,575,000). At the end of the year,its year-to-date total is 2,000,000. It wouldreceive payment of $425,000 for Q4.
New12/2/05
R1.5.0 If a symbol changes to a new symbol, revenue will becalculated for each symbol independently. On April 1, XXX is changed to YYY.Revenue is calculated for XXX until April
1. Separately, revenue is calculated forYYY.
Revised12/13/05
R1.5.1 If a symbol is reassigned to a new company andcontinues to trade in the same network, it will be
treated as if it is the same symbol, even though itrepresents two different companies.
Bill Company is delisted and its symbol,BCO, is assigned to another company,
Bob Company. For revenue allocationpurposes, BCO would be processed asone symbol regardless of the differentunderlying companies.
Step R2 Provide Data to Real time Data Feed Recipients
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Step R2: Provide Data to Real-time Data Feed Recipients
Status Step # Step Rule Examples/Comments
New
1/5/06
R2.0 Each Plan will make available to any real-
time data subscriber any additional datarequired to conduct the revenue allocationcalculation. Such additional data will beprovided at no additional charge, except forreasonable handling charges.
Any subscriber to a Plans real-time market data will
be entitled to receive any additional data required toconduct the revenue allocation calculation. Forexample, unbundled trades that are not part of aPlans real-time data feed would be provided by theplan at no additional costs, except for reasonablehandling charges.
Revised3/6/06
R2.1 Each Plan will make publicly available anyrules, processes, and algorithms required toconduct the revenue allocation calculation.However, other than assisting regulators and
SIPs auditors, SIPs will not be required toprovide support to anyone who tries toimplement the published rules, process, andalgorithms associated with the revenueallocation calculation.
Step R3: Data Retention Process
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Step R3: Data Retention Process
Status Step # Step Rule Examples/Comments
Revised
1/5/06
R3.0 Data
retention
SIPs will maintain a set of aggregated or
summarized data required for the revenueallocation calculation during each year andfor the preceding calendar year. This datawill be available as a file that can bedownloaded from each Administrators website. This data will be made available oncommercial terms to be determined by themarkets, unless otherwise required.
Revised12/13/05
R3.1 SIPs will maintain all quote and trade datathat can be readily retrieved upon formal
request for the current calendar year and thepreceding calendar year.
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Appendices
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Appendix 1: Glossary
Glossary
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Glossary
Price-change quote A quote that is at a different price than the preceding best quote from the same market.
Size-change quoteA quote that is at the same price but a different size than the preceding best quote from the samemarket.
Minimum Credit IntervalThe minimum duration required for a price-change quote, or a series of consecutive quotes, to be eligiblefor credit. The minimum credit interval is currently set at one second.
DurationThe difference between a quotes start time and end time. This is based on the respective SIPsoutbound time stamp and measured in milliseconds.
Eligible quote
Any price-change quote that has a duration equal to or greater than the minimum credit interval. Aneligible quote does not necessarily receive quote credit, but is eligible to be considered for credit duringthe revenue allocation calculation. To be eligible, a quote must be automated and therefore cannot be aunder quote conditions A, B, or H (slow or manual quotes).
Flickering quoteAny price change quote that is less than the minimum credit interval, and that is not succeeded by aquote at the same price, but in a different size.
Qualifying quote An eligible quote at the RBBO.
Earning quote A quote that earns credit because it is at the RBBO for at least the minimum credit interval.
National Best Bid/Offer
(NBBO)
The highest-priced bid at the largest size or the lowest-priced offer at the largest size at a specific point intime as determined by the SIP. Note: The quote at the NBBO may not necessarily be eligible to be
considered for quote credit because it is a flickering quote.
Revenue Best Bid/Offer
(RBBO)
A calculated value that identifies which quote earns credit, and for what duration. The RBBO is a quotethat equals or exceeds the minimum credit interval and 2) has the best price of all eligible quotes (quotesthat equal or exceed the minimum credit interval). The RBBOs start time is defined as the time at whichit became the best quote and its end time is defined as the time at which it was superceded as the bestquote by another quote, whether from the same market or a different market. The RBBO therefore willbe at the same price as the underlying eligible quote, but at a duration equal to or less than theunderlying eligible quote.
Glossary (Continued)
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Glossary (Continued)
Worst bid The lowest bid price posted by a given market during a fixed time period used for credit eligibility
Worst offer The highest offer price posted by a given market during a fixed time period used for credit eligibility
Fixed time periodA time interval (currently 1/10th of a second) during which each markets worst price is determined thatwill then be used to compute the adjusted price for the market for the interval.
Adjusted price The price determined for each market within each fixed time period that is evaluated for quote credit.
LockAn eligible quote that is entered at the same price as the other side of a market (I.e., a bid entered at thesame price as an existing offer or an offer entered at the same price as the bid.)
Locked conditionThe period during which the best bid and best offer in the market continue at the same price. Sinceflickering quotes are ineligible for quote credit, a locked condition only matters if it is longer than theminimum credit interval.
CrossAn eligible quote that is entered at a better price as the other side of a market i.e., a bid entered at ahigher price than an existing offer or an offer entered at a lower price than an existing bid.)
Crossed conditionThe period during which the best bid is higher than best offer in the market. Since flickering quotes areineligible for quote credit, a crossed condition only matters if it is longer than the minimum credit interval.
Security income allocationThe Revenue Allocation Formulas initial step is to allocate distributable income among all of the securitiescovered by the Plan based on the formulas included in the calculation
Trading shares50% of each markets income share for each security covered by the Plan is based on that markets shareof trading in each security.
Quoting shares50% of the markets income allocation is based on the markets quotes in the security where all quoteshave been adjusted by the qualification, flicker, and locked & crossed processes, as well as by size
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Appendix 2: Process Steps
Appendix 2: Summary of All Process Steps
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Appendix 2: Summary of All Process StepsStep # Step description Slide #
Trade process 5
T1 Collect trade reports & processes corrections 8
T2 Process unbundled trades 9
Security Income Allocation Process 11
SIA1 Compute Initial Security Income Allocation 13
SIA2 Compute Additional Security Income Allocation 14
SIA3 Compute Final Security Income Allocation 15
Quote process 17
Q1 Collect all quotes 24
Q2 Remove ineligible quotes 27
Q3 Compute adjusted price 29
Q3.1 Calculate worst price 31
Q3.2 Calculate adjusted price 34
Q4 Compute RBBO 40
Q5 Discard locks and crosses 43
Q6 Calculate quotes time at the RBBO 49
Q7 Adjust quotes for size 52
Appendix 2: Summary of All Process Steps (cont )
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Appendix 2: Summary of All Process Steps (cont.)
Step # Step description Slide #
Credit Calculation Process 57
C1 Compute markets trading shares by security 60
C2 Compute markets quoting shares by security 61
C3 Compute markets trading income allocation 62
C4 Compute markets quote income allocation 62
C5 Compute markets total income allocation 62
Reporting and Data Retention Process 64
R1 Provide data to plan participants and public 66R2 Provide data to realtime data feed recipients 67
R3 Retain data 68
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Appendix 3:Background of Flickering Quotes
Examp le A-3a Step 3 0: Remove Flickering Quotes --
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Examp le A-3a Step 3.0: Remove Flickering QuotesComplying with Reg NMS
Market A
Size 100Quote #1
Market A
Size 100Quote #2
Market A
Size 100Quote #4
09:30:00 09:30:02 09:30:03 09:30:04 09:30:05 09:30:06 09:30:07 09:30:0809:30:01
50.11
50.08
50.09
50.10
Market C
Size 100Quote #6
Market A
Size 100Quote #5
Market C
Bid 50.10Size 100Quote #7
Market C
Size 100Quote #8
Market D
Size 100
Quote #13
Market A
Size 100Quote #3
Market E
Size 100
Quote #14
Market B
Size 100Quote #15
Market F
Size 100Quote #16
Calculations & representationsbased on bids
Examp le A-3a Comments: Remove Flickering Quotes --
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Status Comment # Explanation Examples/Comments
12/31/05 C1.0 Reg NMS states that markets will not receive credit for
quotes that do not remain at the NBBO for at least 1second. (Quotes of less than one second are termedflickering quotes and the one-second period istermed the minimum credit interval.) Flickeringquotes may create instability in prices and do notprovide actionable price discovery even if they aremomentarily the best price.
12/31/05 C1.1 Unfortunately, in cases where a market posts pricesthat are at the best, but are not consistently at thesame price, simply discarding prices that do not last
one full second creates undesirable effects, eventhough such a practice would conform with a strictinterpretation of Reg NMS.
Markets As Quotes #1,2,3,4 and 5 are all at thebest price. Similarly, Market Cs Quotes # 6, 7,and 8 are all at the best from the time Quote #5
is removed. However, none of these quotes lastfor a full second and therefore would bedisqualified for credit under a strict interpretationof Reg NMS.
1/1/06 C1.2 To remedy this situation, an alternative approach willbe implemented, which is based on the followingprinciple:
A market is eligible for credit if it posts an automated
quote or series of consecutive automated quotes that
collectively are at the RBBO for the minimum creditinterval (1 second). Therefore, flickering quotes do
not disqualify a market from receiving credit for a
quote.
This approach is intended to meet the followinggoals:
Conform with the intent of Reg NMS
Reward market participants for continuously
setting the best available prices
Discourage gaming of the system by postingflickering quotes
Avoid awarding credit to markets whosequotes may be significantly away from theNBBO.
Examp le A 3aComments: Remove Flickering QuotesComplying with Reg NMS
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Example A-3b : Quote Credit Goals
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Example A 3b: Quote Credit Goals
Status Goal Examples/Comments
Revised1/17/06
The goal of quote credit is to provide credit to any market that
consistently displays the best price even price moves around, provided itremains at the best price for at lease one full second. Early attempts toallocate credit using a simple definition of a quote flicker (I.e., a quotethat changes price in less than a second) resulted in quote credit beinggiven to markets that were away from the best price.
Market A and C get credit. Market D does not
get credit even though it is at the best whenMarket Cs Quote #8 drops from the bestbecause it does not remain the best for a fullsecond. There is no best bid during thisinterval.
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Appendix 4: Additional examples ofthe adjusted price calculation
Example A-4a: Previous worst price high er than the existing worst
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0 1
Example A 4a: Previous worst price high er thanthe existing worstprice
Next 9 1/10ths of a secondPrevious 9 1/10ths of a second
Quotes #9/10
Quotes
#10/11/12
Quote
#13
Quote
#19
09:30:02 09:30:03 09:30:04
50.11
50.08
50.09
50.10
Quote
#18
Quotes
#14
Quotes
#15/16/17
Quote
#21
Quotes
#20
1 2 3 4 5 6 7 8 9 0 1 2 3 4 5 6 7 8 9 2
Current1/10th
second
Maximum =$50.08 =
adjusted price
Calculations & representationsbased on bids.
Second 1
Second 1
Quotes #22/23/24
Second 2
Second 3
Second 4
Second 5
Second 6
Second 7
Second 8
Second 9
Second 10
098
MinAhead
50.08
50.08
50.08
50.08
50.08
50.08
50.08
50.0850.08
50.08
Example A-4b: Previous worst price same as the existing worst price
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0 1
Example A 4b: Previous worst price same asthe existing worst price
Next 9 1/10ths of a secondPrevious 9 1/10ths of a second
Quotes #9/10
Quotes
#10/11/12
Quote
#13
Quote
#19
09:30:02 09:30:03 09:30:04
50.11
50.08
50.09
50.10
Quote
#18
Quotes
#14
Quotes
#15/16/17
Quote
#21
Quotes
#20
1 2 3 4 5 6 7 8 9 0 1 2 3 4 5 6 7 8 9 2
Current1/10th
second
Maximum =$50.09 =
adjusted price
Calculations & representationsbased on bids.
Second 1
Second 1
Quotes #22/23/24
Second 2
Second 3
Second 4
Second 5
Second 6
Second 7
Second 8
Second 9
Second 10
098
MinAhead
50.08
50.09
50.08
50.08
50.08
50.08
50.08
50.0850.08
50.09
Example A-4c: Previous worst price lower than the existing worst
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0 1
Example A 4c: Previous worst price lower than the existing worstprice
Next 9 1/10ths of a secondPrevious 9 1/10ths of a second
Quotes #9/10
Quotes
#10/11/12
Quote
#13
Quote
#19
09:30:02 09:30:03 09:30:04
50.11
50.08
50.09
50.10
Quote
#18
Quotes
#14
Quotes
#15/16/17
Quote
#21
Quotes
#20
1 2 3 4 5 6 7 8 9 0 1 2 3 4 5 6 7 8 9 2
Current1/10th
second
Maximum =$50.09 =
adjusted price
Calculations & representationsbased on bids.
Second 1
Second 1
Quotes #22/23/24
Second 2
Second 3
Second 4
Second 5
Second 6
Second 7
Second 8
Second 9
Second 10
098
MinAhead
50.08
50.09
50.09
50.08
50.08
50.08
50.08
50.0850.08
50.09
Examp le A -4d: Start of the trading day*: first 1/10th
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Quotes #8/9/10
Quote
#6
Examp le A 4d: Start of the trading day : first 1/10th
09:29:59 09:30:01
50.11
50.08
50.09
50.10
Quote
#5
Quotes
#1/2
Quotes
#3/4/5
Quote
#8
Quotes
#7/8
1 2 3 4 5 6 7 8 9 0 1 2 3 4 5 6 7 8 9 0 1 2 3 4 5
Current1/10th
second
Calculations & representationsbased on bids.
Next 9 1/10ths of a second
MinAhead
50.08
* The process is similar for a restart following a trading halt or for a market that drops out for a time.
Maximum =$50.08 =
adjusted price
Second 1
Second 2
Second 3
Second 4
Second 5
Second 6
Second 7
Second 8
Second 9
Second 10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
09:30:00(or start of
trading)
Examp le A-4e: End of the trading day*: Next to last 1/10th
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0.00Second 9
Second 10
Quote
#n+3
p g y
15:59:59 16:00:01
50.11
50.08