Skip to content
All library documents

NYSE Autoquotes and the Automated Dissemination of Best Quotes

Article Quant Q&A · Author: g_puffo
Read the original

Summary

The document discusses autoquotes in the context of research on locked and crossed markets. It distinguishes the paper’s reference to small displayed limit orders that other market participants might trade through from an explanation of the exchange’s autoquote system. The answer describes autoquote as software the NYSE began using in 2003 to disseminate changes in the best quotes for its listed stocks, replacing manual specialist updates.

A second answer connects automatic quote dissemination to Reg NMS and the sharing of each exchange’s best prices. This helps explain how automation improved the speed at which market participants received quote information. The discussion is brief and offers no detailed mechanics, current exchange-by-exchange status, or evidence about whether the historical 100-share orders remain in use. It therefore provides useful historical context, but does not fully resolve the question about modern autoquotes or the paper’s specific placeholder orders.

Key ideas

  • NYSE autoquote software automated dissemination of changes in best quotes beginning in 2003.
  • The system replaced manual updates by specialists and accelerated access to quote information.
  • Automatic dissemination supports the sharing of best prices across exchanges under Reg NMS.
  • The document does not establish whether the paper’s small placeholder orders still exist today.

Tags

EquitiesMarket microstructureExecutionUS markets
Full text
# What are "Autoquotes"?


# What are "Autoquotes"?












I'm reading a 2008 JoFMarkets paper by Shkilko et al. with title "Locked and crossed markets on NASDAQ and the NYSE" in which the authors investigate the determinants of locked and crossed markets. Their data is 3 months (October to December 2003) of quoting and trading (from TAQ database) for 100 NYSE and NASDAQ stocks.

In the paper the authors talk about "autoquotes", certain 100 share size limit orders that "... inter-market participants are not required to honor and can trade through them, as they are likely to be placeholder (non-economic) quotes."

Can anyone clarify what are these limit orders and whether they still "exist" in today's equity markets?

## Answer by Alex C (score 2)

https://quant.stackexchange.com/a/18345

Quote: Starting in 2003, the NYSE started disseminating automatically, with a software called autoquote, any change in the best quotes in its listed stocks. Before that specialists had to update manually new inside quotes in the LOB. This implementation considerably accelerated the speed at which algorithmic traders receive information Endquote

Source: Market Microstructure: Confronting many viewpoints, book by Abergel and others, Published by Wiley (2012)

So it sounds to me like an early step in the automation of trading and the transition away from a manual "specialist" and is probably of historical interest only at this point. But I am not sure.

## Answer by Suntropical (score 0)

https://quant.stackexchange.com/a/42147

Autoquotes help execution of Reg NMS by making sure best quotes are automatically disseminated on each exchange after a change in the best price on the connected exchanges. (Some exchanges are still not connected completely, leading to the Facebook IPO fracas )

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.