“Our customers are experiencing faster order executions, better fill rates, and superior market quality, which has always been a hallmark of the NYSE. As quoted spreads have narrowed substantially, we continue to provide superior liquidity at the NYSE best bid and offer. Sub-second, fully electronic order executions with the potential for price improvement now account for more than 90 percent of trades. While effective spreads have widened slightly, we expect improvement with the addition of electronic tools for floor brokers and specialists that process price improvement messages electronically.”
Demonstrating the opportunity for customers to choose between an electronic or auction order execution in the NYSE Hybrid Market, 20% of share volume is currently handled through trading-floor brokers and specialists utilizing new Hybrid Market electronic tools. This combination of order execution styles has resulted in improvements in the NYSE’s already impressive fill rates (based on SEC Rule 605 statistics) and in quoted prices, as shown in the increase in setting or matching the National Best Bid or Offer (NBBO). The introduction of Liquidity Replenishment Points (LRPs) has ensured that volatility increased only slightly with the introduction of auto executions and sweeps without unduly slowing the market. As defined by Regulation NMS, the NYSE Hybrid Market is considered fast nearly 99% of the time (on a time-weighted basis); (see accompanying chart for a summary of Hybrid Market Phase III results).
In Phase III, the NYSE began to automatically route orders to the best price if that price is not matched on the NYSE. In Phase IV, the NYSE will introduce Immediate or Cancel (IOC) and Intermarket Sweep Orders (ISOs) that will not route, providing customers even more order execution choice and control.
In the upcoming year, the NYSE plans to further enhance Hybrid Market functionality with features such as the Common Customer Gateway, a consolidated point of entry for all cash equity services which will provide customers with multiple protocol choices. In addition, the NYSE expects dramatic improvements in order throughput speed and turnaround times in 2007.
All NYSE listed securities have been connected to Phase III with the exception of 43 ten-share unit issues. These securities, as listed on nyse.com, will be connected at a later date.
