On 21 August 2008, the NYSE will commence a pilot regarding the calculation of its Liquidity Replenishment Points (LRPs) in an effort to increase the availability of NYSE quotes eligible for automatic execution. In accordance with Rule 1000, the NYSE will revert to auto-quoting in situations where the LRP has been hit but the market is not locked or crossed. The timeframe to go fast again will be reduced from ten seconds to five seconds.
In addition, the recalculation of LRPs, currently done every 30 seconds, will be reduced to every ten seconds.
Category: Operations
