NYSE Group exchanges introduced improved handling for Minimum Fill instructions (“Min Fill”) on the Pillar technology platform earlier this year. With this functionality, market participants can elect to prevent multiple orders from being aggregated to satisfy the Min Fill. An order marked with a Min Fill instruction will not return a fill for less than the Min Fill quantity, even if multiple contra orders would add together to meet the Min Fill amount.
Usage of the improved Min Fill functionality has already increased our average fill size. NYSE Arca midpoint order average fill size has grown about 7%, from 198 shares to 211 shares.1
Data: October 2019 — Arca posted midpoint orders filled against constraside orders of a smaller size
Data: October 2019 — Arca Limit IOC Orders priced at or better than midpoint
1 Midpoint fills for stocks priced between $10 and $50 in Q2 and Q3 2019
Multi-list options broke nearly all volume records in 2021, driven by the growth of retail participation: daily records (24 of the top 25 volume days of all-time came in 2021), monthly ADV records (April was the only month from 2021 not in the top 12 all-time), and yearly ADV records (37.3M ADV in 2021 was nearly 10M more than in 2020 and double the ADV in 2019).
Increased retail activity in the equities market has affected which stocks are trading the most, and when and where those stocks trade. We’ve previously highlighted retail’s impact on pre- and post-market volume and the opening auction, and now focus on the period immediately after the opening auction. Market participants often avoid this time of day due to higher volatility, an approach worth re-evaluating given current trends.
As the home of ETFs, the NYSE continuously works to strengthen market quality and provide the optimal trading environment for listing and trading ETFs. In April 2021, in service of this goal, the NYSE introduced new requirements and incentives for its industry-leading NYSE ETF Liquidity Program, including the assignment of additional market makers ("Less Active ETF Leads") for new and/or low-volume ETFs.