If IEX's system determines that the
NBBO is "stable," it works as described immediately above.
While the IEX Speed Bump is designed to address this problem after changes to the
NBBO occur, but before they are widely disseminated, algorithmic prediction models enable another form of predatory, speed-based trading.
where [O.sub.t] is the best offer price, [B.sub.t] is the best bid price, and [M.sub.t] is the midpoint of the
NBBO quotes at time period t.
Because locked and crossed market conditions occur from time to time, the locked and crossed
NBBO may not be very useful to infer the trade direction.
(56.) See LEWIS, supra note 1, at 96-98 (explaining
NBBO concept and its effects on orders routed under Reg NMS rules); Definition of 'National Best Bid and Offer -
NBBO,' INVESTOPEDIA, http://www.investopedia.
Bid and Best Offer (
NBBO) requirement obligates brokers to execute
and calculate the National Best Bid and Offer (
NBBO) from all exchanges for the regular trading hours from 9:30 a.m.
At the end of the auction, the AX system performs a match -- not just a midpoint match -- but a true auction finding the clearing price (inside or outside the
NBBO) that results in the largest trade.
You could peg your order to the
NBBO, plus or minus an amount expressed as a percentage of the spread.
The SEC supplemented these proposals in its equities market concept release on 13 January 2010, which floated the idea of a 'trade-at' rule which would prevent non-displayed venues from matching at the national best bid and offer (
NBBO), and instead proposed that they should either match at a significantly improved price e.g.
The New Zealand dollar fell in afternoon trading after the National Bank of New Zealand Business Outlook (
NBBO) survey showed confidence slid for a third consecutive month.