Options Exchanges Mull Depth-of-Book Feeds
Traders Magazine, April 2008
How low do option traders want to go? Under their plan to modernize intermarket linkage, the options exchanges will draft a new trade-through rule, requiring traders to take out top-of-book quotes when sourcing liquidity. That is unchanged from today, as traders need not sweep beyond top-of-book to be in compliance with existing trade-through rules. Some traders, though--mostly of the algorithmic variety--want the ability to sweep as many levels below an exchange's best bid or offer as they can. Whatever the rule says, they want to scoop up as much liquidity as possible.
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