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April 11, 2012

New Algo Gets Parity at NYSE

By Peter Chapman

A Chicago vendor has developed an algorithm that takes advantage of the special privileges of the New York Stock Exchange floor broker.

The algo accesses liquidity on multiple trading venues. But when trading at NYSE Classic and NYSE Amex, it benefits from the exchanges' parity rules by routing eligible flow via a floor broker. That means the algo shares in the fills with others at a given price point. It does not have to wait in line as it would under the time priority rules at all other exchanges.

At the NYSE, parity is available to floor participants and their customers.

Deep Value, the vendor, is making this algo available to traditional buyside desks via its broker-dealer affiliate Deep Value Enclave, a partnership between Deep Value and Enclave Securities.

The product is also available from NYSE floor brokers who use Deep Value's algorithms at the exchange and are participating in the rollout. The vendor is one of two that have arrangements with NYSE Euronext to supply algorithms to NYSE floor brokers. (Pragma is the other.)

It has been operating on the floor since 2008 and boasts 80 floor brokerages as customers, according to Harish Devarajan, chief executive of Deep Value. "We've married the benefits that come from trading at parity with the benefits that come from accessing multiple liquidity pools," Devarajan said.

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