Nanex ~ 22-Aug-2012 ~ NYSE Retail Price Improvement

August 1, 2012 marked the start of NYSE's new Retail Liquidity Price Improvement (RLP) program. Retail order flow would be directed to special Retail Liquidity Providers who would offer a better prices for retail trades in whole 1/10th of a cent increments. What isn't disclosed about this program is that the order on the other side of the "price improved" trade doesn't get executed, costing someone else the bid/ask spread. But that is a different subject we wrote about here.

The impact of NYSE's RLP shows up as higher volume of trades executed at prices in sub-penny fractions at even amounts of 1/10th of a cent. Examples are trades priced at 23.4590, 35.1220, and 640.7210 which have sub-penny fractions of 90, 20, and 10 respectively.

On August 1, 2012, we note a significant increase in trades executed at 1/10th sub-penny fractions, as well as a decrease in trades with prices at 1/100 and 99/100 sub-penny fractions. However, the distribution of prices reverts back to previous levels the following Monday, August 6th, indicating the success of the program may have fizzled.

Each chart below shows the total volume (in millions of shares) of trades in NYSE and AMEX listed stocks that executed at each sub-penny fraction for the specified trading day. The x scale shows the sub-penny fraction in 100ths of a cent, so 80 means a price ending in 80: x.xx80. Line are colored the same for matching pairs: 80/20, 90/10 and so on. Investors get a better deal the farther prices are away from the middle of the chart.

We created an animation of this chart going back to 2006 for all U.S. stocks.

Nanex Research