MRX INET SYSTEM SETTINGS

Transcription

1 MRX INET SYSTEM SETTINGS 1. Hurs f Operatin 6:00 a.m. ET System begins accepting rders. 9:30 a.m. ET System begins disseminating imbalance and price infrmatin fr the pening auctin. 9:30 a.m. ET System begins executing rders. 4:00 p.m. ET System stps accepting and executing equity ptins rders. 4:15 p.m. ET System stps accepting and executing ETF and Index Optins rders. 2. OPENING The MRX Opening Prcess utilizes the Primary Listing Market fr the Underlying Security. The underlying security must be pen n the primary market fr 100ms fr the Opening Prcess t cmmence. Open Delay 5 secnds A delay impsed if at least tw CMMs r the PMM have nt submitted qutes and the market fr the underlying has an pening trade r qute. Opening Qute Spread Table (Valid Width Opening Qute): All Issues (except NDX & PCLN) <9 mnths $0.00 $1.99 $0.75 $2.00 $4.99 $1.20 $5.00 $9.99 $1.50 $10.00 $19.99 $2.40 $ $3.00 NDX & PCLN Max bid/ask diff <9 mnths $0.00 $1.99 $1.50 $2.00 $4.99 $2.00 $5.00 $9.99 $3.00 $10.00 $19.99 $6.00 $20.00 $39.99 $12.00 $40.00 $79.99 $24.00 $80.00 $ $36.00 $ $44.00 Quality Opening Market Differentials Table The table f values defined as an acceptable bid/ask differential in rder t establish a quality pening market. 1

2 Nn-Penny Issues: $0.00 $1.00 $0.15 $1.01 $2.00 $0.22 $2.01 $3.00 $0.30 $3.01 $5.00 $0.45 $5.01 $7.00 $0.60 $7.01 $10.00 $0.75 $10.01 $20.00 $0.90 $20.01 $30.00 $1.20 $30.01 $40.00 $1.50 $ $2.25 $0.00 $1.00 $0.10 $1.01 $2.00 $0.10 $2.01 $3.00 $0.14 $3.01 $5.00 $0.20 $5.01 $7.00 $0.30 $7.01 $10.00 $0.40 $10.01 $15.00 $0.60 $15.01 $20.00 $0.80 $20.01 $30.00 $1.20 $30.01 $40.00 $1.60 $40.01 $ $2.00 Special Penny Issues (SPY/IWM/QQQQ) $0.00 $0.40 $0.06 $0.41 $1.00 $0.10 $1.01 $2.00 $0.12 $2.01 $3.00 $0.14 $3.01 $5.00 $0.18 $5.01 $7.00 $0.24 $7.01 $10.00 $0.40

3 $10.01 $15.00 $0.60 $15.01 $20.00 $0.80 $20.01 $30.00 $1.00 $30.01 $40.00 $1.20 $40.01 $ $1.60 Imbalance Timer 250 millisecnds Amunt f time the system may wait befre pening an ptin with an imbalance after bradcasting an Imbalance Message. Opening Qute Range Table The table f values added t the ffer and subtracted frm the bid t establish MRX s maximum Opening Qute Range. Nn-Penny Issues: Acceptable (highest bid X r lwest ask + X) Range Multiplier fr ptins that expire >9 mnths away $0.00 $1.00 $ X $1.01 $2.00 $ X $2.01 $3.00 $ X $3.01 $5.00 $ X $5.01 $7.00 $ X $7.01 $10.00 $ X $10.01 $20.00 $ X $20.01 $30.00 $ X $30.01 $40.00 $ X $ $ X Acceptable (highest bid X r lwest ask + X) fr ptins that expire >9 mnths away $0.00 $1.00 $0.05 $0.10 $1.01 $2.00 $0.05 $0.14 $2.01 $3.00 $0.07 $0.18 $3.01 $5.00 $0.10 $0.40 $5.01 $7.00 $0.15 $0.50 $7.01 $10.00 $0.20 $0.60 $10.01 $15.00 $0.30 $0.75 $15.01 $20.00 $0.40 $0.90 $20.01 $30.00 $0.60 $1.20

4 $30.01 $40.00 $0.80 $1.50 $ $1.00 $2.25 Special Penny Issues (SPY/IWM/QQQQ) Acceptable (highest bid X r lwest ask + X) Range Multiplier fr ptins that expire >9 mnths away $0.00 $0.40 $ X $0.41 $1.00 $ X $1.01 $2.00 $ X $2.01 $3.00 $ X $3.01 $5.00 $ X $5.01 $7.00 $ X $7.01 $10.00 $ X $10.01 $15.00 $ X $15.01 $20.00 $ X $20.01 $30.00 $ X $30.01 $40.00 $ X $ $ X Number f Imbalance Prcess Iteratins befre an Opening with an Imbalance 4 iteratins Number f times the system will repeat the imbalance prcess befre pening with a remaining imbalance. Opening Rute Timer 200 ms Amunt f time the system waits befre ruting t an away market as part f the pening prcess. 3. ACCEPTABLE TRADE RANGE & PROTECTIONS Max number f Acceptable Trade Range Iteratins: 1 Acceptable Trade Range (ATR) Acceptable Trade Range bundaries limiting the f prices incming Simple Orders and qutes (except fr All-r-Nne Orders) will be allwed t execute. Nn-Penny Issues end f frm Reference Price $0.00 $3.00 $0.25 $ $0.50 end f Frm Reference Price $0.00 $3.00 $0.05 $ $0.25

5 Special Penny Issues (SPY/IWM/QQQQ) end f Frm Reference Price $0.00 $3.00 $0.05 $ $0.05 Market Order Spread Prtectin - $5.00 permissible fr a Market Order t be accepted by the trading system; if the bid/ask differential is wider than $5.00, a Market Order submitted int the system will be rejected. 4. AUCTIONS Auctin Timers Belw are the auctin timer cnfiguratins fr MRX: Auctin Type Facilitatin Flash PIM Slicitatin Blck Duratin 100 millisecnds 150 millisecnds 100 millisecnds 100 millisecnds 100 millisecnds