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July 5, 2008

NYSE Updates OpenBook

By James Ramage

Two new enhancements to the New York Stock Exchange's OpenBook market data feed promise traders more speed and information. The first product, OpenBook Ultra, delivers information about each event that occurs on the limit order book, as opposed to the snapshots distributed through the current version. It also identifies orders, cancels and executions, according to Mark Schaedel, vice president of data products for NYSE Euronext.

"Folks use this to create all types of analytics," Schaedel said. "One is seeing what's not displayed, based upon what's traded versus what was quoted on the book. So, you know if a larger trade went off-versus what was displayed on the book-there was someone hidden there with additional liquidity."

The second product, NYSE Order Imbalances, gives OpenBook users more information and an indication of a stock's direction before NYSE openings and closings. This product updates pre-opening and pre-closing looks more rapidly as exchange openings and closings approach: every 15 seconds between 9:20 a.m. and the open, and every five seconds between 3:50 p.m. and the close. "This greatly enhances transparency around the auctions," Schaedel said. "It also may potentially attract more participation in the openings and closings."

 

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