 |
| Disabler | Occasion | Parameter | Determinant |
|
| Spread Tolerance | A single order causes a large price movement | 5 cents if first execution is <$5
15 cents if first execution is $5-15
25 cents if first execution is >$15 | Automated |
| Momentum Tolerance | A series of orders cause a large price swing | The greater of 15 cents or 1% high/low swing within a 30-second time span | Automated |
| Gap Trade | A trade exceeds the maximum specified range from the last sale | 1%, $2, $1, $0.50 away from the last sale, depending on the price of the security | Automated |
| Gapped Quote | An oversized order is walked into the crowd | Normal minimum imbalance is 10,000 shares or $200,000 value | Specialist |
|
|
Spread Tolerance
Spread tolerance is parameter set by the Exchange and published in the Amex rules. It represents the price range that a single, incoming order may execute on AEMI from its first trade. The price range is calculated according to a systematized table and based on the price of the first execution. In order for auto-ex to be disabled, the size at the tolerance price must be exhausted. For more information, see Spread Tolerance.
Momentum Tolerance
Momentum tolerance is a parameter set by the Exchange and published in the Amex rules. Its purpose is to minimize excessive volatility within a defined time span. It is reached when the price of an individual security has moved a defined percentage or number of ticks within a rolling 30-second time span. In order for auto-ex to be disabled, a single trade at or outside the tolerance price must occur.
Gap Trade
A gap trade occurs when an execution exceeds a defined amount or percentage relative to the last sale. This is also known as the "1%, 2, 1, 1/2 point rule" and is systematized. In order for auto-ex to be disabled, a single gap trade must occur.
Gap the Quote
If a Floor Broker walks into the crowd with an oversized imbalance, the Specialist may decide to gap the quote in order to generate offsetting interest.
The other reasons that auto-ex may be disabled during the day relate to:
- The commencement of the Cash Close or Closing session
- Trading halt (regulatory or other)
- System issues
|
|
Can the Specialist disable auto-ex at will?
No. All parameters for disabling auto-ex during the regular trading session are pre-programmed, with the exception of gapping the quote. In this case, the Specialist may gap the quote as per the rules, which requires Floor Official supervision of the process.
Is auto-ex disabled in anticipation of a tolerance breach, e.g., If a quote is published that would result in a gap trade?
No. AEMI will not publish a quote as automated if it cannot be accessed immediately by an incoming order. A gap trade or trade breaching momentum tolerance must occur in order for auto-ex to be disabled.
How can the tolerance parameters be changed?
The parameters form part of our rules, and any amendments are subject to a new rule filing and approval by the SEC.
|
