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Traders Magazine, August 2001

Editorial Staff

Market Depth Market depth has loosened in the SuperSOES era, engendering mixed feelings among market makers. Keith Brickman, head of Nasdaq trading at Morgan Stanley, says attributing changes in depth to SuperSOES is folly as the system is too new and volume is depressed. But, he notes, "depth of market has clearly widened. You're not seeing penny increments all the way up and down." Market depth refers to the gaps between the bids or between the offers. Under SelectNet, many of those quotes were 100-share throwaways used to sniff out supply and demand. Market makers could hold their quotes for 17 seconds, often tying up others. In the SuperSOES auto-ex world, quotes simply vanish. Consequently, those remaining are more likely to indicate real' trades. "Liquidity is more identifiable," said Len Hefter, head of Nasdaq trading at Jefferies, Dallas who applauds the change. Other traders miss the 17 seconds. "I could sit there and listen to the order flow," said one trader. "I could sit there and not be forced to move."

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