Alpha proposes new order designations to avoid crossed markets
Last week, Alpha ATS LP announced plans to introduce two new order designations, intended to reduce instances of unintentional locked or crossed markets and trades at worse prices than available on other marketplaces by providing price protection for directed action orders.
Specifically, the "Protect Cancel" DAO designation would execute, to the extent possible, at the national best bid or offer before cancelling any residual volume that would cause a trade at a worse price than available on another marketplace, or unintentionally lock/cross the market. The "Protect Re-price" DAO designation, meanwhile, would execute, to the extent possible, at the national best bid or offer before adjusting the price of any residual volume that would cause a trade at a worse price than available on another marketplace or unintentionally lock/cross the market. Orders would be re-priced to one tick from the opposite of the national best bid or offer.
Other changes proposed by Alpha would eliminate "all or none" orders and improve the handling of mixed lot orders where a security has no odd lot dealer. Comments on the proposed changes are being accepted until October 24, 2011.
