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Product LoginTuesday, May 13, 2014
Options Trader Alert #2014 - 11
BX Options Market Sets Maximum Iterations of Acceptable Trade Range
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Effective Friday, May 30, 2014, the Exchange will set a limit on the number of Acceptable Trade Range (ATR) iterations which can occur for a given order or quote. Currently, aggressively priced orders or quotes will only execute within a defined range. Once the limit of a range has been reached, the order or quote pauses briefly to allow for additional liquidity to be entered into the market. At the conclusion of the pause, the order or quote may trade up to (for buys) or down to (for sells) the next iterative limit of the range at which time it would pause again if not fully executed or posted at its limit price. This process may continue indefinitely. As of Friday, May 30, 2014, the number of times this process may repeat will be limited to 5. The ATR iteration setting will be posted on the BX Options Market System Settings page. On the FIX interface, the Order Reject Reason Code 201802019 with text of 201cSuspend201d will be utilized when an order is cancelled due to ATR. Quotes submitted through Specialized Quote Feed (SQF), which are affected by the new ATR maximum iteration functionality, will receive a standard Option Symbol Purge Notification Message. |
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