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| Priority and Parity |
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Priority and parity determines the ranking and execution priority of orders and quotes within the AEMI order book. Prioritization of interest within the AEMI book is determined based upon capacity (for Exchange Traded Funds only), price and time, and parity status (in-parity or not in-parity). An order or quote within the AEMI book is considered "in-parity" if:
- A trade takes place after a quote or order was received by AEMI; or
- A new market is established (e.g. the Amex Published Quote is improved) and orders or quotes with prices equal to the new market are received within two seconds of the new market being established.
Orders and quotes are differentiated by their parity status, with in-parity orders and quotes ranked above not in-parity orders and quotes at the same price level. Parity allocation, the process of allocating an aggressing order according to a predefined priority, will take place if there is insufficient quantity to satisfy ALL of the in-parity interest at a price point.
Parity allocation is applied differently for equities and ETFs:
Equities
- Equity Specialists will yield to public orders (i.e., orders initiated from off-floor). Regardless of its parity status, the Specialist's quote will not trade until all public interest is satisfied at the same price level.
- The quantity parity allocated will be even split among the participants.
- When parity allocation takes place, the Specialist and any public orders are considered a single participant in terms of determining the allocation splits. Each crowd participant is then given an individual allocation.
ETFs
- All broker/dealer (i.e. principal) orders and quotes, including that of the Specialist and Market Makers, yield to all customer (i.e. agency capacity) interest, regardless of their in-parity status.
- When parity allocation takes place, public orders received from a broker/dealer are considered a single participant in terms of determining the allocation split.
- A parity allocation table (see below) is utilized for ETFs:
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| Number of Participants | Specialist Allocation | Crowd/Public Allocation* |
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| 1 | 60% | 40% |
| 2-4 | 40% | 60% |
| 5-7 | 30% | 70% |
| 8-15 | 25% | 75% |
| 16+ | 20% | 80% |
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| *The portion allocated to the crowd/public will be even split |
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Once an allocation has been determined for the aggregate public orders, these individual orders are then executed by AEMI in exclusive price/time priority.
Example 1 (Equity):
The Specialist quote and an order from a Floor Broker order are in parity. A market order to buy 1,000 shares is received by AEMI.
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| Initial Order Book (Offer Side Only) |
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| Member | Quantity | Price | Parity State | Crowd/Public |
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| Specialist | 2,000 | 11.00 | In-Parity | Crowd |
| Broker1 | 1,000 | 11.00 | In-Parity | Crowd |
| Broker2 | 1,500 | 11.00 | Not In-Parity | Crowd |
| Broker3 | 3,000 | 11.00 | Not In-Parity | Crowd |
| Broker4 | 5,000 | 11.00 | Not In-Parity | Crowd |
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Executions
500 against the Specialist @ 11.00
500 against Broker1 @ 11.00
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| Resulting Order Book (Offer Side Only) |
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| Member | Quantity | Price | Parity State | Crowd/Public |
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| Specialist | 1,500 | 11.00 | In-Parity | Crowd |
| Broker1 | 500 | 11.00 | In-Parity | Crowd |
| Broker2 | 1,500 | 11.00 | In-Parity | Crowd |
| Broker3 | 3,000 | 11.00 | In-Parity | Crowd |
| Broker4 | 5,000 | 11.00 | In-Parity | Crowd |
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Example 2 (ETF):
The Specialist quote and an order from a Floor Broker order are in parity. There is also an in-parity customer order on the AEMI book. A market order to buy 1,100 shares is received by AEMI. |
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| Initial Order Book (Offer Side Only) |
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| Member | Quantity | Price | Parity State | Crowd/Public | Customer/B-D |
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| Specialist | 2,000 | 11.00 | In-Parity | Crowd | Broker/Dealer |
| Broker1 | 1,000 | 11.00 | In-Parity | Crowd | Broker/Dealer |
| Broker2 | 1,500 | 11.00 | Not In-Parity | Crowd | Broker/Dealer |
| Broker3 | 3,000 | 11.00 | Not In-Parity | Crowd | Broker/Dealer |
| Broker4 | 100 | 11.00 | Not In-Parity | Crowd | Customer |
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Executions
100 against Broker4 @ 11.00
600 against the Specialist @ 11.00
400 against Broker1 @ 11.00
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| Resulting Order Book (Offer Side Only) |
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| Member | Quantity | Price | Parity State | Crowd/Public | Customer/B-D |
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| Specialist | 1,400 | 11.00 | In-Parity | Crowd | Broker/Dealer |
| Broker1 | 600 | 11.00 | In-Parity | Crowd | Broker/Dealer |
| Broker2 | 1,500 | 11.00 | In-Parity | Crowd | Broker/Dealer |
| Broker3 | 3,000 | 11.00 | In-Parity | Crowd | Broker/Dealer |
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Example 3 (Equity):
The Specialist quote and a floor broker order are in parity. There is also a not-in-parity public order on the AEMI book. A market order to buy 1,000 shares is received by AEMI. |
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| Initial Order Book (Offer Side Only) |
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| Member | Quantity | Price | Parity State | Crowd/Public |
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| Specialist | 2,000 | 11.00 | In-Parity | Crowd |
| Broker1 | 1,000 | 11.00 | In-Parity | Crowd |
| Broker2 | 1,500 | 11.00 | Not In-Parity | Crowd |
| Broker3 | 3,000 | 11.00 | Not In-Parity | Crowd |
| Broker4 | 400 | 11.00 | Not In-Parity | Public |
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Executions
400 against Broker4 @ 11.00
500 against Broker1 @ 11.00
100 against the Specialist @ 11.00 |
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| Resulting Order Book (Offer Side Only) |
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| Member | Quantity | Price | Parity State | Crowd/Public |
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| Specialist | 1,900 | 11.00 | In-Parity | Crowd |
| Broker1 | 500 | 11.00 | In-Parity | Crowd |
| Broker2 | 1,500 | 11.00 | In-Parity | Crowd |
| Broker3 | 3,000 | 11.00 | In-Parity | Crowd |
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Example 4 (Equity):
The Specialist quote and orders belonging to four Floor Brokers are in parity. A market order to buy 1,700 shares is received by AEMI. |
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| Initial Order Book (Offer Side Only) |
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| Member | Quantity | Price | Parity State | Crowd/Public | Entry Time | Last Trade Time | Last Quote Change |
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| Broker1 | 1,000 | 11.00 | In-Parity | Crowd | 13:29:56 | 13:31:00 | 13:33:05 |
| Broker2 | 1,500 | 11.00 | In-Parity | Crowd | 13:31:05 | 13:31:00 | 13:33:05 |
| Specialist | 2,000 | 11.00 | In-Parity | Crowd | 13:31:45 | 13:31:00 | 13:33:05 |
| Broker3 | 3,000 | 11.00 | In-Parity | Crowd | 13:32:25 | 13:31:00 | 13:33:05 |
| Broker4 | 5,000 | 11.00 | In-Parity | Crowd | 13:33:06 | 13:31:00 | 13:33:05 |
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Executions
400 against the Specialist @ 11.00
400 against Broker1 @ 11.00
300 against Broker2 @ 11.00
300 against Broker3 @ 11.00
300 against Broker4 @ 11.00
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| Resulting Order Book (Offer Side Only) |
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| Member | Quantity | Price | Parity State | Crowd/Public | Entry Time | Last Trade Time | Last Quote Change |
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| Broker1 | 600 | 11.00 | In-Parity | Crowd | 13:29:56 | 13:33:10 | 13:33:05 |
| Broker2 | 1,200 | 11.00 | In-Parity | Crowd | 13:31:05 | 13:33:10 | 13:33:05 |
| Specialist | 1,600 | 11.00 | In-Parity | Crowd | 13:31:45 | 13:33:10 | 13:33:05 |
| Broker3 | 2,700 | 11.00 | In-Parity | Crowd | 13:32:25 | 13:33:10 | 13:33:05 |
| Broker4 | 4,700 | 11.00 | In-Parity | Crowd | 13:33:06 | 13:33:10 | 13:33:05 |
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Example 5 (ETF):
The Specialist quote, one Floor Broker crowd order, and two broker/dealer public orders are all in parity. A market order to buy 2,000 shares is received by AEMI. |
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| Initial Order Book (Offer Side Only) |
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| Member | Quantity | Price | Parity State | Crowd/Public | Customer B/D | Entry Time | Last Trade Time | Last Quote Change |
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| Specialist | 1,000 | 11.00 | In-Parity | Crowd | Broker/Dealer | 13:29:56 | 13:31:00 | 13:33:05 |
| Broker1 | 1,000 | 11.00 | In-Parity | Crowd | Broker/Dealer | 13:31:05 | 13:31:00 | 13:33:05 |
| Broker2 | 1,000 | 11.00 | In-Parity | Public | Broker/Dealer | 13:31:45 | 13:31:00 | 13:33:05 |
| Broker3 | 1,000 | 11.00 | In-Parity | Public | Broker/Dealer | 13:32:25 | 13:31:00 | 13:33:05 |
| Broker4 | 1,000 | 11.00 | Not In-Parity | Public | Broker/Dealer | 13:33:10 | 13:31:00 | 13:33:05 |
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Executions
800 against the Specialist @ 11.00
600 against Broker1 @ 11.00
600 against Broker2 @ 11.00
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| Resulting Order Book (Offer Side Only) |
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| Member | Quantity | Price | Parity State | Crowd/Public | Customer B/D | Entry Time | Last Trade Time | Last Quote Change |
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| Specialist | 200 | 11.00 | In-Parity | Crowd | Broker/Dealer | 13:29:56 | 13:33:20 | 13:33:05 |
| Broker1 | 400 | 11.00 | In-Parity | Crowd | Broker/Dealer | 13:31:05 | 13:33:20 | 13:33:05 |
| Broker2 | 400 | 11.00 | In-Parity | Public | Broker/Dealer | 13:31:45 | 13:33:20 | 13:33:05 |
| Broker3 | 1,000 | 11.00 | In-Parity | Public | Broker/Dealer | 13:32:25 | 13:33:20 | 13:33:05 |
| Broker4 | 1,000 | 11.00 | In-Parity | Public | Broker/Dealer | 13:33:10 | 13:33:20 | 13:33:05 |
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What if there are only public orders at a price point?
If only public orders are present at a price point (i.e. all on-floor participant interest is at other price points) then executions occur in price/time priority.
How will AEMI differentiate between customers and broker/dealers?
Customer orders are agency orders and will be identified based upon their account type. All orders entered with an account type of I, H, B, A, 8, or 9 are considered customer orders. All other account types and all quotes are considered principal (broker/dealer) interest.
What is the difference between public and crowd?
Interest submitted from off-floor is considered public. Only Floor Brokers standing in the crowd may submit crowd orders, but in ETFs, market maker quotes are also considered crowd interest.
What if a Floor Broker leaves the crowd?
If a Floor Broker leaves the crowd he must either:
- Cancel all of his crowd orders
- Convert his crowd orders into public orders
- Pass his crowd orders to another broker standing in the crowd
He may not leave crowd orders on the AEMI book while not physically present in the crowd.
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