In coordination with other exchanges and market participants, Direct Edge® will participate in industry –wide testing for Limit Up-Limit Down (LULD) and Market Wide Circuit Breaker (MWCB) functionality on Saturday, January 26, 2013.
Test Schedule
Exchanges will run through core scenarios outlined below starting at 9:30 a.m., Eastern Time (ET) and continuing until 1:00 p.m., ET. Double-wide bands will be in effect from 9:30 – 9:45 a.m., ET and from 12:35 – 1:00 p.m., ET. The exchanges will simulate a MWCB test at 11:30 a.m., ET.
Symbol Lists
Exchanges have been assigned specific symbols to use during the test on Saturday, January 26th. Members are asked to refrain from using any of the following symbols in their tests as these are for exchange use only.
Symbols for Exchange Use Only |
|
Exchange |
Test Symbol(s) |
BATS |
BBY, GRMN, INDA |
CHX |
BAX, BBBY |
Direct Edge |
TSLA, BA, BAC |
NASDAQ |
RIMM, ZNGA |
NSX |
ARNA, BBT, YINN |
NYSE |
A, AMD, CBO |
NYSE MKT |
API |
NYSE Arca |
ABI, AFK, AGF, IGZ, ZVV |
The following is a list of symbols that all industry participants may use to test on Saturday, January 26th.
Symbols for all Market Participants |
|||
NASDAQ-Listed |
NYSE-Listed |
NYSE ARCA- Listed |
NYSE MKT- Listed |
ARCC |
AAP |
AHB |
ANV |
GNTX |
ABBV |
ALD |
ALN* |
ATML |
ABC |
ALT |
IBO* |
ATVI |
ABT |
DUST |
INO* |
TFSL |
CBX |
DVYL |
|
CPWR |
CIM |
ZZK |
|
MRVL |
AA* |
ZZZ |
|
MDRX |
AAN* |
AKN* |
|
ENDP |
ANGL* |
||
HBAN |
|||
PLCM |
|||
TIBX |
|||
TWTC |
|||
UTIW |
|||
ZION |
|||
ZVZZT |
|
|
|
ZWZZT |
|
|
|
*Member testing is permitted in the symbol only after 10:30 a.m., ET
Anticipated Test Scenarios
Direct Edge anticipates running the following core scenarios in symbols reserved only for exchange use during the test on January 26th.
Limit Up-Limit Down Test Scenarios
- Test 1 – Limit State / No pause / Bands Zero (to be conducted from 10:30 – 10:35 a.m., ET)
- Test order in symbol with no price bands from SIP
- Test 2 – Opening Time – Bands shrink – Order becomes un-executable
- At the open, when the Bands are double-wide, enter an order that is just above the lower band. After the bands update to the normal width, the order will be un-executable.
- Test 3 – Opening time – Bands shrink – Order re-priced or is cancelled
- At the open, when the Bands are double-wide, enter a buy order that is just below the upper band.
- When the bands update to single-wide, the order should be re-priced or cancelled (depending on Exchange behavior) so that it complies with the new price bands.
- Test 4 – Standard sell and buy executions
- Execute a buy and sell order within the NBBO and LULD Price Bands
- Test 5 – Limit State / No pause
- Trigger a limit state with a buy order, cancel or execute the order before 15 seconds have elapsed
- Trigger a limit state with a sell order, cancel or execute the order before 15 seconds have elapsed
- Test 6 – Limit State / Pause
- Trigger a limit state with a buy order and allow the order to trigger a trading pause.
- Test 7 – Multiple Limit States / No pause
- Trigger multiple limit states with aggressive buy and sell orders, but cancel or execute each order prior to triggering a trading pause.
- Test 8 – Multiple Limit State / Pauses
- Trigger multiple limit states and then allow a trading pause to occur.
- Test 9 – Straddle / Market comes in
- Straddle the lower price band with two orders, and then execute trades near the lower price band to move the reference price so that the buy order becomes executable.
- Test 10 – Locked Market
- Create a locked NBBO and execute trades at the lock price.
- Test 11 – Aggressive Sell >$3.00 Stock Tier 1
- Send an IOC sell order that aggressively crosses the lower band.
- Test 12 – Aggressive Buy > $3.00 Stock Tier 1
- Send an IOC buy order that aggressively crosses the upper band.
- Test 13 – Aggressive Sell between $0.75 - $3.00 Tier 1
- Send an aggressive DAY sell order that crosses the lower price band.
- Execute the order before a pause is triggered.
- Test 14 – Aggressive Buy between $0.75 - $3.00 Tier 1
- Send an aggressive DAY buy order that crosses the upper price band.
- Execute the order before a pause is triggered.
- Test 15 – Closing Time – Bands expand – Order coming in
- Before the bands go double-wide for the close, enter an order that is outside of the regular bands, but would be inside the double-wide bands. The order should be un-executable when entered.
- After the bands change to double-wide, execute the order.
- Test 16 – Closing Time – Last 5 minutes
- Trigger a limit state and a trading pause within the last five minutes of trading.
- After 5 minutes, stock re-opens with a halt cross in the post-market session.
Market-Wide Circuit Breaker Test Scenario
The SIP will generate a breach message for a Level 1 at 11:30 a.m., ET. A fifteen minute halt will follow with a standard reopening auction process on each listing market.
- Example 1 – 11:30 a.m.
- Level 1
- SP 500 declines > or = 7%
- Level 1 breach triggered
- 15 minute halt (last 5 min quote only)
- Halt crosses for each symbol conducted
- Trade resume messages sent for each symbol
- Level 1
More Information
- Refer to our LULD Implementation FAQ document.