Liquidity Protection Rule

The purpose of the CODA Block Liquidity Protection Rule¹ (LPR) is to prevent a CODA Block auction from moving a stock’s price an unreasonable distance based on the size of the print and the liquidity profile of the stock. The rule is driven by and equation that is calibrated individually for every stock based on the pattern of its trades over the last 20 trading days. The calibration methodology is designed to reflect the typical price variance of each stock as a function of its notional turnover. The LPR takes the size of a CODA Block print as an input and returns the maximum distance the CODA Block engine will allow the auction to go up outside the NBBO as the output.

1

Trade Data Filtering

The calibration acts on all regular way trades reported to the SIP during regular market hours, exclusive of opening and closing auction volume as well as other trades that appear to be reported out of sequence or are otherwise unrelated to the prevailing market conditions.
2

Data Point Generation

For every trade, 5 windows are randomly created spanning sequential trades summing to a notional value of $100K – $250 MM. The price variation of the trades in the window is measured, creating a large set of (window size, price variance) data point pairs.
3

Regression Calibration

All data point pairs spanning the most recent 20 trading days are aggregated and organized into bins of similar notional value. A regression runs upon the median price variance for each notional bin to generate an equation that characterizes price variance as a function of notional turnover.
4

Optimizations

Several rules are applied to ensure that the results don’t offend our common sense, including but not limited to: a. Enforce monotonicity the equation curve is flattened out if necessary to guarantee that it never has as a negative slope, i.e., it never gives a smaller answer for a larger number of shares b. Not enough data – if a symbol does not trade enough to generate a statistically significant number of data points. We default to logic that hardcodes the LPF value at twice the average daily range of the stock, regardless of auction size. In such stocks, the minimum CODA Block auction size is large relative to the stock’s ADV so a more granular determination of a reasonable distance to move the stock’s price cannot be made.

In the example, a trader has queried the Liquidity Protection Rule value for 15,000 shares of YELP. Based on an analysis of all trades in YELP over the past 20 days, the LPR Calculator has returned the answer that maximum distance outside the NBBO that the LPR will allow CODA Block to print 15,000 shares of YELP is 22.54 basis point or $0.09.

Open: Price and size of opening print from primary market for prior trading day; 5 and 20 days averages of size only.

Close: Price and size of closing print from primary market for prior trading day; 5 and 20 days averages of size only.

VWAP: Volume Weighted Average Price of regular way trades during regular market hours (exclusive of opening & closing volume).

NBBO Median: Typical size found on one side of the NBBO. Calculator as follows: all exchange quotes are aggregated and the total size (bid size + offer size at the NBBO). The median value is divided by two and reported in shares and notional terms.

NBBO Spread: Typical NBBO spread width. Calculated as follows: all exchanges quotes are aggregated and the NBBO spread width is calculated for each unique state of the NBBO. The median value is reported in dollar and notional terms.

NBBO Midpt Change: Likehood the VBBO midpoint will change in a random 100ms window of time. Calculated by dividing the trading day into 100ms segmented and counting what % of them contains NBBO midpoint change.

Please visit www.codamarkets.com & register to access the CODA Block Liquidity Protection Rule Calculator.

¹ The Liquidity Protection Rule is the result of data analysis
Performed by ALISA (Advanced Liquidity Studies and Analytics), a data platform operated by PDQ Enterprises, LLC.

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- An electronic or physical signature of the person authorized to act on behalf of the copyright owner;
- A description of the copyrighted work that you claim has been infringed;
- A description of where on our site the material is located;
- Your address, telephone number and email address;
- A statement by you that you have a good faith belief that the use is not authorized by the copyright owner, its agent or the law; and
- A statement by you, made under penalty of perjury, that the information in your notice is accurate and that you’re the copyright owner or authorized to act on behalf of the copyright owner.
Trademarks and Service Marks

PDQE owns registered and common-law trademarks, service marks, domain names and trade dress protected by trademark laws in the United States and other countries. Other names, whether or not appearing in large print, italics or with the trademark/service mark symbol are trademarks and service marks of PDQE, its subsidiaries, related companies or third party content providers, unless otherwise noted. The use or misuse of these trademarks/service marks or any other content or materials, except as permitted herein, is expressly prohibited and may be in violation of copyright law, trademark law and/or other relevant laws. Please be advised that PDQE actively and aggressively enforces its intellectual property rights to the fullest extent of the law. PDQEand its affiliates’ marks, names, logos and trade dress include, but are not limited to, the following: “PDQ”, “PDQ Enterprises”, “ALISA”, “PDQ ATS”, “CODA”, “CODA Markets”.

Third Party Materials

Certain Content available via the Web site may include materials from third parties. PDQE may provide links to third-party websites as a convenience to you. You agree that PDQE is not responsible for examining or evaluating the content or accuracy and PDQE does not warrant and will not have any liability or responsibility for any third-party materials or websites, or for any other materials, products, or services of third parties. You agree that you will not use any third-party materials in a manner that would infringe or violate the rights of any other party and that PDQE is not in any way responsible for any such use by you.

Laws and Applicable Jurisdiction

You acknowledge and agree that your access to and use of this Site is subject to all applicable international, federal, state and local laws and regulations. The terms, conditions and policies contained in this Agreement will be governed by and construed in accordance with the laws of the State of New York, without regard to any principles of conflicts of law. You acknowledge and agree that any legal action, whether at law or in equity, arising out of or relating to this Agreement will be filed only in the state or federal courts located in New York City; that you irrevocably consent and submit to the exclusive personal jurisdiction of those courts for the purpose of litigating any such action; and that you will irrevocably waive any jurisdictional, venue or inconvenient forum objections to such court.

Privacy Notice

The Site does not require you to provide personal, nonpublic information. We only collect personal, nonpublic information that you knowingly and willingly supply to us. Site users may choose to complete a contact form, which may request information such as name, address, telephone number, e-mail address, etc. Users may also use this form to share comments relating to our Web site or our business in general. The information provided through this form will be used either to improve the content of our Web site or to direct a member of our sales department to contact the user. None of the information provided in the contact form will be sold or transferred to any third party. We will not share your information with third parties unless required by law. We store your information securely and only for the purpose of providing services you have requested from us or as otherwise described herein.

We may collect and retain data on the general usage of the Site. Like most Web sites, the site maintains logs that when analyzed show IP addresses of our users, date and time and pages viewed. These reports do not contain personally identifiable information. We do not log, record, obtain or retain the information and data that you enter into this Site or into the tools and calculators on the Site such as securities symbols, order size, and other transaction-specific data.

Cookies are also used in our site. Cookies are small text files that are placed in a site user’s computer that contain no personal information about the user, but enable us to determine whether the site user has viewed the site previously. If you have any questions about our Privacy Notice, please contact us at webinquiries@pdqenterprises.com.

You acknowledge and agree that any communication between you and PDQE via this Site is not encrypted.

This Web site is not intended or designed to attract individuals under the age of 18. We do not knowingly collect personal information from or about any person under the age of 18. If you are under 18 years old and wish to ask a question or use this Site in any way which requires you to submit your personal information, please get your parent or guardian to do so on your behalf.

Restrictions on Use

The information provided on this Web site is not intended for distribution to, or use by, any person or entity in any jurisdiction or country where such distribution or use would be contrary to law or regulation, or which would subject PDQE or its affiliates to any registration requirement within such jurisdiction or country. You may not use this Web site for any illegal purpose or in any manner inconsistent with the Agreement. You agree not to use, transfer, dispose, or distribute any Content in any manner that could compete with PDQE’s business.

You may not attempt to gain unauthorized access to any portion or feature of the Web site, or any other systems or networks connected to the Web site or to any PDQE server, or to any of the services offered on or through the Web site, by hacking, password “mining” or any other illegitimate means.

You may not probe, scan or test the vulnerability of the Web site or any network connected to the Web site, nor breach the security or authentication measures on the Web site or any network connected to the Web site. You may not reverse look-up, trace or seek to trace any information on any other user of or visitor to the Web site, to its source, or exploit the Web site or any service or information made available or offered by or through the Web site, in any way where the purpose is to reveal any information, including but not limited to personal identification or information, other than your own information, as provided for by the Web site.

You agree that you will not take any action that imposes an unreasonable or disproportionately large load on the infrastructure of the Web site or PDQE’s systems or networks, or any systems or networks connected to the Web site or to PDQE.

You agree not to use any device, software or routine to interfere or attempt to interfere with the proper working of the Web site or any transaction being conducted on the Web site, or with any other person’s use of the Web site.

You may not forge headers or otherwise manipulate identifiers in order to disguise the origin of any message or transmittal you send to PDQE on or through the Web site or any service offered on or through the Web site. You may not pretend that you are, or that you represent, someone else, or impersonate any other individual or entity.

Your Account

As a user of the Web site, you may establish an account ("Account"). You should not reveal your Account information to anyone else. You are solely responsible for maintaining the confidentiality and security of your Account and for all activities that occur on or through your Account, and you agree to immediately notify PDQE of any security breach of your Account. PDQE shall not be responsible for any losses arising out of the unauthorized use of your Account.You agree to provide accurate and complete information when you register with, and as you use, the Web site ("Registration Data"), and you agree to update your Registration Data to keep it accurate and complete. You agree that PDQE may store and use the Registration Data you provide for use in maintaining your Account.You may not use anyone else’s Registration Data at any time without the express permission and consent of the holder of that Registration Data.

Termination

PDQE, at its sole discretion, at any time, for any reason or no reason and without notice to you may: (i) terminate this Agreement and/or your access to the Site, and/or (ii) terminate the license to any software; and/or (iii) preclude access to the Site (or any part thereof). PDQE reserves the right to modify, suspend, or discontinue the Site or any associated services (or any part or content thereof) at any time with or without notice to you, and PDQE will not be liable to you or to any third party should it exercise such rights.

Miscellaneous

The failure of PDQE to exercise or enforce any right or provision of this Agreement shall not constitute a waiver of such right or provision. Any clause of this Agreement declared invalid shall be deemed severable and shall not affect the validity or enforceability of the remainder. The terms of this Agreement may only be amended in a writing signed by PDQE.The Agreement constitutes the entire agreement between user and PDQE relating to the use of this Site. Users may also be subject to additional terms and conditions that may apply when users use affiliate services, third-party content or third-party software.

For More Information

If you have questions about any of the information provided herein, please contact us at webinquiries@pdqenterprises.com.

Last updated: September 30, 2016
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