2001issue C121-3
Displayed size, venue rules, and execution costs
A historical execution workflow treats displayed size, venue permission, and the ticket-versus-share schedule as one pre-send checklist. Entry, routing, and standing aside stay inside the same procedure.
- Before a ticket is sent, the workflow checks whether displayed size is the size that will print, whether venue rules allow that size to be provided, and whether a ticket-versus-share comparison prices the intended order.
- Orders of about 100 to 200 shares are described as usually cheaper under per-share billing, while blocks larger than 2,000 shares are described as usually cheaper under per-ticket billing.
- A persistent 1-by-1 quote during a large print is described as a closed-book-interval. After the print, displayed size is restated and entitled interest is handled in one central book.
- In a dealer market without a single central book, displayed size can omit hidden interest, and who is entitled to the traded shares is harder to observe.
One pre-send checklist
The archive describes execution as work done before a ticket is sent. The first question is whether displayed size, the bid and offer quantities shown on the quote, is the size that will actually print. The next question is whether venue rules allow that size to be provided. The last question is whether a ticket-versus-share comparison prices the intended order.
Ticket-versus-share and limit-versus-market fees
A ticket-versus-share choice can be made by multiplying typical shares per order by the per-share rate and comparing that product with the ticket charge. Orders of about 100 to 200 shares are described as usually cheaper under per-share billing, while blocks larger than 2,000 shares are described as usually cheaper under per-ticket billing.
Limit and marketable orders can carry different charges. Under that limit-versus-market-fee split, a price-protecting limit is often billed higher, while a marketable order may be billed lower because the receiving firm can trade against it.
Venue rules that govern provided size
Specialist rules are described as participation-only on upticks and downticks. The specialist may join a move rather than start it. Large orders are described as more often accommodated than joined.
Working orders into the pre-open are described as being built from fair-value calculations that need extended explanation before use.
When displayed size is not the print
A persistent 1-by-1 quote while large volume prints at that price is described as a negotiated large print. During that closed-book-interval the specialist briefly suspends the open book to fill entitled interest. After the print completes, displayed size is described as being restated to the live bids and offers, with entitled interest handled in one central book.
The central-versus-fragmented contrast is the next check. In a dealer market without a single central book, displayed size can omit hidden interest, and who is entitled to the traded shares is described as harder to observe.
Reading market-maker behavior
Market-maker behavior is presented as something learned by watching how a name absorbs larger bids and offers, because no complete written account of that decision style is said to exist.
Editorial: when displayed size omits interest, when entitlement is hard to observe, or when the ticket-versus-share schedule does not fit the order, the same market-aware-procedure includes the choice of no order.
All readings on this track · 7 readings
- 2001Displayed size, venue rules, and execution costs
- 2004Opening auction envelopes and crutch pairs
- 2005Electronic index futures: spread quotes that follow the tape
- 2007Pairs, hedges, vanishing bids, and the cost of liquidity
- 2012A transaction levy makes one-tick market making unexecutable
- 2012Visible opening depth versus internalized subpenny priority
- 2012Broken quotes as liquidity events