FOOTNOTE 105 Average length of time that orders for a specific instrument remain in the book before being modified, filled, or cancelled. END FOOTNOTE
FOOTNOTE 106 Notional value executed vs. notional value entered or modified. END FOOTNOTE
FOOTNOTE 107 See CFTC Net Position Changes Data, available at http://www.cftc.gov/MarketReports/NetPositionChangesData/index.htm. END FOOTNOTE
FOOTNOTE 108 See Vladimir Filimonov,
FOOTNOTE 109 See David Easley,
FOOTNOTE 110 For a given market, such metrics would be calculated by identifying the relevant category of trader on trades that result in a price move from a previous trade and determining the percentage of those trades where an ATS was on one or both sides of the trade. END FOOTNOTE
FOOTNOTE 111 SEC Rules 605 (Disclosure of Order Execution Information) and 606 (Disclosure of Order Routing Information) of Regulation NMS respectively require market centers (as defined in the rules) to make publicly available standardized, monthly reports of statistical information concerning their order executions and broker-dealers to make publicly available quarterly reports that, among other things, identify the venues to which customer orders are routed for execution. See 17 CFR 242.605 (formerly Securities Exchange Act Rule 11Ac1-5) and 17 CFR 242.606 (formerly Securities Exchange Act Rule 11Ac1-6). END FOOTNOTE
Several of the measures described in this Concept Release would provide additional information about market quality that market participants cannot derive exclusively from real-time order book information provided by each exchange. The Commission expects that market participants could use this additional information, together with information currently available in the order book, in order to better inform their trading efficiency and strategies and to mitigate adverse effects of their actions and other market participants' on the market. Further, the Commission expects that these measures could be used to help understand changes in market quality. In addition, the Commission believes that providing consistent measures of market quality across exchanges would promote market efficiency through transparency and market competition.
To clarify what costs and benefits these market metrics may provide to participants, the Commission requests comment to the questions below, including that, if these metrics are beneficial, the appropriate frequency of publication.
89. What market quality indicators are in place today? Please describe the metrics, how and where they are deployed, and how market participants access these indicators and at what cost.
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