Federal Register / Vol. 74, No. 122 / Friday, June 26, 2009 / Notices 30653 

12 17 CFR 200.30–3(a)(12). 

1 15 U.S.C.78s(b)(1). 

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

The Contingent Trade Order will 

address those concerns by permitting 

the member to provide its customer a 

net price for the entire trade, and then 

allowing the member to execute the 

options leg of the trade on the ISE at a 

price at least equal to the NBBO while 

using the CQT [sic] exemption to effect 

the trade in the equities leg at a price 

necessary to achieve the net price. 

While there is no exposure for price 

improvement for the options leg of a 

stock-option order with our proposed 

Qualified Contingent Cross Order, that 

order must be executed at the NBBO or 

better, [sic]. Moreover, since the price of 

a stock-options order is a net price 

derived from the price of the options leg 

and the price of the stock leg, we believe 

it is reasonable for any potential 

improvement of the net price to 

originate from the execution of the stock 

leg. On balance, we believe that 

providing members with the certainty 

that they can execute the options legs of 

these large complex orders for their 

customers, coupled with the flexibility 

members have with respect to the price 

at which the equity legs are executed, 

will provide customers with the 

flexibility needed to achieve their 

investment objectives. 

2. Statutory Basis 

The basis under the Act for this 

proposed rule change is the requirement 

under Section 6(b)(5) that an exchange 

have rules that are designed to prevent 

fraudulent and manipulative acts and 

practices, to promote just and equitable 

principles of trade, to remove 

impediments to and perfect the 

mechanism for a free and open market 

and a national market system, and, in 

general, to protect investors and the 

public interest. In particular, the 

proposal will facilitate the ability of ISE 

members to execute large options orders 

that are tied to stock in an efficient 

manner, while also protecting the 

national market system against tradethroughs. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The proposed rule change does not 

impose any burden on competition that 

is not necessary or appropriate in 

furtherance of the purposes of the Act. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

The Exchange has not solicited, and 

does not intend to solicit, comments on 

this proposed rule change. The 

Exchange has not received any 

unsolicited written comments from 

members or other interested parties. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 35 days of the date of 

publication of this notice in the Federal 

Register or within such longer period (i) 

as the Commission may designate up to 

90 days of such date if it finds such 

longer period to be appropriate and 

publishes its reasons for so finding or 

(ii) as to which the self-regulatory 

organization consents, the Commission 

will: 

(A) By order approve such proposed 

rule change, or 

(B) Institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an e-mail to rulecomments@sec.gov. Please include File 

Number SR–ISE–2009–35 on the subject 

line. 

Paper Comments 

• Send paper comments in triplicate 

to Elizabeth M. Murphy, Secretary, 

Securities and Exchange Commission, 

100 F Street, NE., Washington, DC 

20549–1090. 

All submissions should refer to File 

Number SR–ISE–2009–35. This file 

number should be included on the 

subject line if e-mail is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

Internet Web site (http://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for inspection and copying in 

the Commission’s Public Reference 

Room, 100 F Street, NE., Washington, 

DC 20549, on official business days 

between the hours of 10 a.m. and 3 p.m. 

Copies of the filing will also be available 

for inspection and copying at the 

principal office of the self-regulatory 

organization. All comments received 

will be posted without change; the 

Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR–ISE– 

2009–35 and should be submitted on or 

before July 17, 2009. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.12

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E9–15025 Filed 6–25–09; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–60151; File No. SR– 

NYSEAmex–2009–29] 

Self-Regulatory Organizations; NYSE 

Amex LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Include Floor Broker 

Agency Interest Containing Pegging 

and/or Discretionary Instructions, 

Eligible for Execution in the Closing 

Transaction, in the NYSE Amex Order 

Imbalance Information Datafeed 

Disseminated Prior to the Closing 

Transaction 

June 19, 2009. 

Pursuant to Section 19(b)(1) 1 of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that, on June 12, 

2009, NYSE Amex LLC (‘‘NYSE Amex’’ 

or the ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(the ‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the self-regulatory organization. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to include 

Floor Broker agency interest containing 

pegging and/or discretionary 

30654 Federal Register / Vol. 74, No. 122 / Friday, June 26, 2009 / Notices 

4See SR–NYSE–2009–49. 

5See Securities Exchange Act Release No.59743 

(April 9, 2009), 74 FR 17699 (April 16, 2009) (SR– 

NYSEAmex–2009–11) (making available the NYSE 

Amex Order Imbalance Information Datafeed as a 

separate, stand-alone Market Data product); See 

also Securities Exchange Act Release No. 59816 

(April 23, 2009), 74 FR 19614 (April 29, 2009) (SR– 

NYSEAmex-2009–13) (modifying the reference 

price at which the Exchange reports the Order 

Imbalance Information and clarifying what 

information is included and excluded from the 

Order Imbalance Information Reports). Pursuant to 

NYSE Amex Equities Rule 15, similar information 

is disseminated prior to the opening transaction via 

this product. 

6The Exchange has filed with the Commission a 

proposed rule change seeking to charge a $500 

monthly fee to recipients of the NYSE Amex Order 

Imbalance Information datafeed. See SR– 

NYSEAmex–2009–26 (filed June 6, 2009). The 

Exchange does not seek to modify the proposed fee 

in any way through this filing. 

7Pursuant to Supplementary Material .26 (ix)(B) 

of NYSE Amex Equities Rule 70, the ‘‘ceiling price’’ 

is the highest price to which a buy-side e-Quote or 

d-Quote may peg. 

8Pursuant to Supplementary Material .26(ix)(C) 

of NYSE Amex Equities Rule 70, the ‘‘floor price’’ 

is the lowest price to which a sell-side e-Quote or 

d-Quote may peg. 

instructions, eligible for execution in 

the closing transaction, in the NYSE 

Amex Order Imbalance Information 

datafeed disseminated prior to the 

closing transaction. The text of the 

proposed rule change is available at the 

Exchange, the Commission’s Public 

Reference Room, and http:// 

www.nyse.com. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

NYSE Amex LLC (‘‘NYSE Amex’’ or 

‘‘the Exchange’’), formerly the American 

Stock Exchange LLC, proposes to 

include Floor Broker agency interest 

files (‘‘e-Quotes’’) containing pegging 

and/or discretionary instructions (‘‘dQuotes’’) (collectively ‘‘Floor broker 

agency interest’’), eligible for execution 

in the closing transaction, in the NYSE 

Amex Order Imbalance Information 

datafeed disseminated prior to the 

closing transaction. 

The Exchange notes that parallel 

changes are proposed to be made to the 

rules of the New York Stock Exchange 

LLC (‘‘NYSE’’).4

Background of NYSE Amex Order 

Imbalance Information 

Currently, NYSE Amex Equities Rule 

123C allows Exchange systems to make 

available a datafeed of real-time order 

imbalances that accumulate prior to the 

closing transactions on the Exchange.5

The datafeed contains aggregate 

information about orders that are 

potentially subject to execution at the 

market’s closing price and represent 

issues that are likely to be of particular 

trading interest at the close. Recipients 

of the NYSE Amex Order Imbalance 

Information datafeed currently receive 

this datafeed free of charge.6

The NYSE Amex Order Imbalance 

Information datafeed disseminated prior 

to the closing transaction (‘‘NYSE Amex 

Closing Order Imbalance Information’’) 

includes all market-on-close orders and 

limit-on-close orders eligible to 

participate in the closing transaction. 

DMM interest and Crowd interest are 

excluded. 

Prior to the closing transaction, NYSE 

Amex Closing Order Imbalance 

Information is disseminated every 

fifteen seconds between 3:40 p.m. and 

3:50 p.m. and every five seconds 

between 3:50 p.m. and 4 p.m. On any 

day that the scheduled close of trading 

on the Exchange is earlier than 4 p.m. 

EST, the dissemination of the NYSE 

Amex Closing Order Imbalance will 

commence 20 minutes before the 

scheduled closing time. NYSE Amex 

Closing Order imbalance information 

will be disseminated every 15 seconds 

for approximately 10 minutes. 

Thereafter, the order imbalance 

information will be disseminated every 

five seconds until the scheduled closing 

time. 

d-Quotes and Pegging Instructions 

Pursuant to NYSE Amex Equities Rule 

70, Floor brokers are permitted to 

represent orders electronically through 

the use of e-Quotes. A d-Quote, as 

provided by NYSE Amex Equities Rule 

70, Supplementary Material .25, permits 

the Floor broker to include discretionary 

instructions as to size and/or price on 

an e-Quote. D-Quote discretionary 

instructions specify the price at which 

the d-Quote may trade and the number 

of shares to be executed based on the 

application of the discretionary 

instructions. The Floor broker must also 

specify the price at which the d-Quote 

is to be quoted. 

Pegging is a distinct instruction that 

may be used in conjunction with an eQuote and/or a d-Quote pursuant NYSE 

Amex Equities Rule 70, Supplementary 

Material .26. Pegging instructions allow 

the Floor broker to maintain his/her 

interest in the Exchange Best Bid or 

Offer (‘‘BBO’’) if the quote moves from 

the orders initial quote price. Pegged 

interest moves with the Exchange BBO 

within the designated range. Any 

discretionary instructions associated 

with that interest will continue to be 

applied as long as it is within the Floor 

broker’s designated price range. Buy 

side e-Quotes will peg to the best bid 

and sell side e-Quotes will peg to the 

best offer. 

Proposal To Include Floor Broker 

Agency Interest in the Closing NYSE 

Amex Order Imbalance Information 

Datafeed 

Through this filing, the Exchange 

proposes to enhance the information 

included in the NYSE Amex Closing 

Order Imbalance Information datafeed. 

Specifically, the Exchange proposes to 

also include, at no additional charge, 

Floor broker agency interest, eligible for 

execution in the closing transaction, in 

the NYSE Amex Closing Order 

Imbalance Information datafeed. 

Accordingly, the Exchange believes that 

the inclusion of this information in the 

NYSE Amex Closing Order Imbalance 

Information datafeed will provide 

increased transparency regarding the 

anticipated closing transaction. 

The NYSE Amex Closing Order 

Imbalance Information will include dQuote interest using the maximum 

discretionary price that could be 

available on the close and pegging eQuotes at their ceiling 7 or floor 8 price. 

Beginning at 3:55 p.m., Exchange 

systems will use the maximum 

discretionary or maximum pegged price 

(ceiling or floor) associated with the 

Floor broker agency interest to 

determine its inclusion in the NYSE 

Amex Closing Order Imbalance 

Information datafeed. 

The Exchange anticipates that the 

inclusion of Floor broker agency 

interest, eligible for execution in the 

closing transaction, in the NYSE Amex 

Closing Order Imbalance Information 

datafeed will provide its customers with 

the requested transparency and allow 

sufficient time for contra-side interest to 

develop, thereby decreasing volatility 

and ultimately contributing to the 

maintenance of a fair and orderly 

market. 

Federal Register / Vol. 74, No. 122 / Friday, June 26, 2009 / Notices 30655 

9 15 U.S.C. 78f(b)(5). 

10 15 U.S.C. 78s(b)(3)(A). 

11 17 CFR 240.19b–4(f)(6). In addition, Rule 19b4(f)(6)(iii) requires the self-regulatory organization 

to submit to the Commission written notice of its 

intent to file the proposed rule change, along with 

a brief description and text of the proposed rule 

change, at least five business days prior to the date 

of filing of the proposed rule change, or such 

shorter time as designated by the Commission. The 

Exchange has satisfied this requirement. 

12For purposes only of waiving the 30-day 

operative delay of this proposal, the Commission 

has considered the proposed rule’s impact on 

efficiency, competition, and capital formation. See 

15 U.S.C. 78c(f). 

Currently, systemic modifications are 

required to implement the inclusion of 

d-Quotes and all other pegging e-Quotes 

eligible to participate in the closing 

transaction in all the securities traded 

on the Exchange. There are 

approximately 15 securities on the 

Exchange that will receive the modified 

Order Imbalance Information datafeed 

on the implementation date of June 22, 

2009. The Exchange will implement the 

modifications progressively across the 

Floor on a stock by stock basis. During 

the implementation process, the 

Exchange will identify on its Web site 

all the securities operating on modified 

systems and receiving the Order 

Imbalance Information datafeed 

containing d-quotes and all other 

pegging e-quotes eligible to participate 

in the closing transaction. The Exchange 

anticipates the completion of these 

modifications on or about July 31, 2009. 

2. Statutory Basis 

The basis under the Securities 

Exchange Act of 1934 (the ‘‘Act’’) for 

this proposed rule change is the 

requirement under Section 6(b)(5) 9 that 

an Exchange have rules that are 

designed to promote just and equitable 

principles of trade, to remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system and, in 

general, to protect investors and the 

public interest. The instant proposal is 

in keeping with these principles in that 

it seeks to provide greater transparency 

to Exchange market participants, 

affording them additional information 

which further promotes just and 

equitable principles of trade. The 

Exchange submits that the proposal to 

include Floor broker agency interest in 

the NYSE Amex Order Imbalance 

Information datafeed furthers the 

protection of investors and the public 

interest by providing investors with a 

more accurate depiction of the market 

interest prior to the closing transaction 

thereby allowing them to make better 

informed trading decisions. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Because the foregoing proposed rule 

change: (i) Does not significantly affect 

the protection of investors or the public 

interest; (ii) does not impose any 

significant burden on competition; and 

(iii) by its terms, does not become 

operative for 30 days from the date on 

which it was filed, or such shorter time 

as the Commission may designate, if 

consistent with the protection of 

investors and the public interest, it has 

become effective pursuant to Section 

19(b)(3)(A) of the Act 10 and Rule 19b– 

4(f)(6) thereunder.11

The Exchange has requested that the 

Commission waive the 30-day operative 

delay so that the proposal may become 

operative immediately upon filing in 

order to assist investors in making better 

informed trading decisions by providing 

a more accurate depiction of the 

available market interest prior to the 

closing transaction. Moreover, a grant of 

immediate effectiveness will ensure that 

the Exchange can provide this increased 

transparency afforded by the additional 

information for the June 26, 2009 

rebalance of the Russell Index which 

has historically been characterized by 

increased trading volatility associated 

with the closing transaction. The 

Exchange believes that the provision of 

more accurate information prior to the 

closing transactions will serve to 

mitigate volatility, assisting in the 

maintenance of a fair and orderly 

market and ultimately protecting 

investors and the public interest. The 

Commission believes such waiver is 

consistent with the protection of 

investors and the public interest.12

Accordingly, the Commission 

designates the proposed rule change 

operative upon filing with the 

Commission. 

At any time within 60 days of the 

filing of the proposed rule change, the 

Commission may summarily abrogate 

such rule change if it appears to the 

Commission that such action is 

necessary or appropriate in the public 

interest, for the protection of investors, 

or otherwise in furtherance of the 

purposes of the Act. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an e-mail to rulecomments@sec.gov. Please include File 

Number SR–NYSEAmex–2009–29 on 

the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Elizabeth M. Murphy, Secretary, 

Securities and Exchange Commission, 

100 F Street, NE., Washington, DC 

20549–1090. 

All submissions should refer to File 

Number SR–NYSEAmex–2009–29. This 

file number should be included on the 

subject line if e-mail is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

Internet Web site (http://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for inspection and copying in 

the Commission’s Public Reference 

Room on official business days between 

the hours of 10 a.m. and 3 p.m. Copies 

of such filing also will be available for 

inspection and copying at the principal 

office of the Exchange. All comments 

received will be posted without change; 

the Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

30656 Federal Register / Vol. 74, No. 122 / Friday, June 26, 2009 / Notices 

13 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4See SR–NYSEAmex–2009–29. 

5See Securities Exchange Act Release No. 57861 

(May 23, 2008), 73 FR 31905 (June 4, 2008) (SR– 

NYSE–2008–42) (enhancing NYSE OpenBook 

Product offerings with the introduction of the Order 

Imbalance Information datafeed); See also 

Securities Exchange Act Release No. 59202 (January 

6, 2009), 74 FR 1744 (January 13, 2009) (SR–NYSE– 

2008–132) (introducing the NYSE Order Imbalance 

Information Fee); See also Securities Exchange Act 

Release No. 59815 (April 23, 2009), 74 FR 19609 

(April 29, 2009) (SR–NYSE–2009–41) (modifying 

the reference price at which the Exchange reports 

the Order Imbalance Information and clarifying 

what information is included in and excluded from 

the Order Imbalance Information Reports). Pursuant 

to NYSE Rule 15, similar information is 

disseminated prior to the opening transaction via 

this product. 

available publicly. All submissions 

should refer to File Number SR– 

NYSEAmex–2009–29 and should be 

submitted on or before July 17, 2009. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.13

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E9–15154 Filed 6–25–09; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–60153; File No. SR–NYSE– 

2009–49] 

Self-Regulatory Organizations; New 

York Stock Exchange LLC; Notice of 

Filing and Immediate Effectiveness of 

Proposed Rule Change To Include 

Floor Broker Agency Interest 

Containing Pegging and/or 

Discretionary Instructions, Eligible for 

Execution in the Closing Transaction, 

in the NYSE Order Imbalance 

Information Datafeed Disseminated 

Prior to the Closing Transaction 

June 19, 2009. 

Pursuant to Section 19(b)(1) 1 of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that, on June 18, 

2009, New York Stock Exchange LLC 

(‘‘NYSE’’ or the ‘‘Exchange’’) filed with 

the Securities and Exchange 

Commission (the ‘‘Commission’’) the 

proposed rule change as described in 

Items I and II below, which Items have 

been prepared by the self-regulatory 

organization. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to include 

Floor Broker agency interest containing 

pegging and/or discretionary 

instructions, eligible for execution in 

the closing transaction, in the NYSE 

Order Imbalance Information datafeed 

disseminated prior to the closing 

transaction. The text of the proposed 

rule change is available at the Exchange, 

the Commission’s Public Reference 

Room, and http://www.nyse.com. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

New York Stock Exchange LLC 

(‘‘NYSE’’ or the ‘‘Exchange’’) proposes 

to include Floor Broker agency interest 

files (‘‘e-Quotes’’) containing pegging 

and/or discretionary instructions (‘‘dQuotes’’) (collectively ‘‘Floor broker 

agency interest’’), eligible for execution 

in the closing transaction, in the NYSE 

Order Imbalance Information datafeed 

disseminated prior to the closing 

transaction. 

The Exchange notes that parallel 

changes are proposed to be made to the 

rules of NYSE Amex LLC (formerly the 

American Stock Exchange).4

Background of NYSE Amex Order 

Imbalance Information 

Currently, NYSE Rule 123C allows 

Exchange systems to make available a 

datafeed of real-time order imbalances 

that accumulate prior to the closing 

transactions on the Exchange.5 The 

datafeed contains aggregate information 

about orders that are potentially subject 

to execution at the market’s closing 

price and represent issues that are likely 

to be of particular trading interest at the 

close. Recipients of the NYSE Order 

Imbalance Information datafeed 

currently pay a $500 monthly fee for 

access to this datafeed. 

The NYSE Order Imbalance 

Information datafeed disseminated prior 

to the closing transaction (‘‘NYSE 

Closing Order Imbalance Information’’) 

includes all market-on-close orders and 

limit-on-close orders eligible to 

participate in the closing transaction. 

DMM interest and Crowd interest are 

excluded. 

Prior to the closing transaction, NYSE 

Closing Order Imbalance Information is 

disseminated every fifteen seconds 

between 3:40 p.m. and 3:50 p.m. and 

every five seconds between 3:50 p.m. 

and 4 p.m. On any day that the 

scheduled close of trading on the 

Exchange is earlier than 4 p.m. EST, the 

dissemination of the NYSE Closing 

Order Imbalance will commence 20 

minutes before the scheduled closing 

time. NYSE Closing Order imbalance 

information will be disseminated every 

15 seconds for approximately 10 

minutes. Thereafter, the order 

imbalance information will be 

disseminated every five seconds until 

the scheduled closing time. 

d-Quotes and Pegging Instructions 

Pursuant to NYSE Rule 70, Floor 

brokers are permitted to represent 

orders electronically through the use of 

e-Quotes. A d-Quote, as provided by 

NYSE Rule 70, Supplementary Material 

.25, permits the Floor broker to include 

discretionary instructions as to size and/ 

or price on an e-Quote. D–Quote 

discretionary instructions specify the 

price at which the d-Quote may trade 

and the number of shares to be executed 

based on the application of the 

discretionary instructions. The Floor 

broker must also specify the price at 

which the d-Quote is to be quoted. 

Pegging is a distinct instruction that 

may be used in conjunction with an eQuote and/or a d-Quote pursuant NYSE 

Rule 70, Supplementary Material .26. 

Pegging instructions allow the Floor 

broker to maintain his/her interest in 

the Exchange Best Bid or Offer (‘‘BBO’’) 

if the quote moves from the orders’ 

initial quote price. Pegged interest 

moves with the Exchange BBO within 

the designated range. Any discretionary 

instructions associated with that interest 

will continue to be applied as long as it 

is within the Floor broker’s designated 

price range. Buy-side e-Quotes will peg 

to the best bid and sell side e-Quotes 

will peg to the best offer.