A SuperSOES update...
The latest is that there is a move toward devising a time spectrum (not unlike, I might personally add, the NM2, 5, and 10 size tiers) that will divide NASDAQ stocks into time frequencies upon which their dealers can be executed against via SOES.
The original plan called for all dealers in stocks to be SOESable at five second intervals; now, the plan would call for the most liquid stocks to be assigned to what may perhaps be a 2 second SOES interval, for example, with less liquid stocks assigned to a higher interval number: say, 8 seconds.
In addition, new issues would be subject to a certain class of time delay before falling into their actual, post-new issue phase time tier.
To me, this doesn't sound too bad. I'd like to hear what the top and bottom limits on those time intervals are, though. My only real concern pertaining to this development would be how often NASDAQ intends to reassign "time tiers" for issues.
If an illiquid stock suddenly became a super volatile, high volume "flavor of the month," and SuperSOES times were only being adjusted every 30 days, trading in such an issue might be disadvantaged until reassignment day rolls around. A real-time system for adjusting SOES time intervals, based upon volume and price momentum, would obviously be the best solution...
LPS5 |
