Beginning on Monday January, 26 2009, as previously mentioned in several client communication throughout the month of October (please reference notices linked below), the NYSE will begin passing sub-penny execution reports from away markets back to firms and will no longer truncate buy reports or round up sell reports as we have done in the past. Firms will begin to receive sub-penny prices via CCG as well as CCG and CMS Drop Copy Services on execution reports from away markets that provide mid point matches as well as on Odd Lots that are priced off an away market quote.
CCG and CCG Drop Copy Services:
- Will begin to receive sub-penny prices in the following FIX Tag of execution message; Tags 31
- All full penny executions will continue to be sent to firms as today and any trailing zeros will continue to be truncated.
CMS Drop Copy Services:
- Will begin to receive sub-penny execution price at the end of Line 3, represented in 4 decimal places (including trailing zeros, if applicable).
- Will begin to receive order's Limit price, Limit CLO price or Stop price on Line 4, represented in 4 decimal places (including trailing zeros).
- All full penny executions will be sent to firms with trailing zeros out to four (4) decimal places.
The roll-out of passing sub-penny execution reports from away markets back to firms will be a phased in implementation, on a stock by stock basis. As stocks are made eligible to receive sub-penny executions, they will be posted to the NYSE Trader section of NYSE.com
The Exchange will begin to accept sub-penny orders and trade and quote in sub-pennies for all sub-dollar securities in the near future. A separate client communication will be distributed with more details. Please contact your Relationship Manager if you have any questions relating to the sub-penny initiative.
For additional details, please reference the following documents:
CCG Enhancements Release 2.1
CMS Enhancements Release 43.90
PT151 Sub-Penny Report Support
Category: Operations, Securities
