By Matt Connor · NYSE parity and D-Quotes: how fills dey allocate
NYSE parity dey split one fill among participants for the same price, so floor broker fit trade before earlier public order. See the allocation math.
NYSE parity na allocation rule: when different participants dey wait for the same best price, incoming order dey share among dem one round lot at a time. E no dey fill from front to back based on arrival time. Participant wey set the best price na the first to receive fill, up to the quantity wey e display. After that, the remaining quantity dey share. Na this make floor broker electronic quote fit execute before public order wey don dey wait for the same price since morning.
Most US venues no dey work like this. Nasdaq and electronic books dey use price-time priority, where the first order wey enter for one price na the first to get filled. Parity na the third model, and e dey control continuous book for every NYSE-listed stock.
How NYSE parity allocation dey work?
Three definitions explain the whole rule.
Setter priority. Order wey first display new best bid or offer na im establish the price. Na im go receive fill before everybody else for that price, up to the quantity wey e display when e set the price. This na the only part of NYSE fill wey strictly follow first come, first served.
A participant. Every off-floor electronic order for one price dey join together as one participant: the book. Each floor broker wey hold e-Quote for that price count as separate participant, and the Designated Market Maker, the firm wey must quote the stock, na another participant. If public interest of 4,000 shares and two floor brokers dey for one price, na three participants be that, no be hundreds.
Rounds. After setter priority don get satisfaction, dem dey share the balance one round lot, 100 shares, to each participant in turn. Dem continue the cycle until dem fill the order or the price level finish. After that, the book allocation dey pass to individual orders based on time priority.
Individual fills dey small, and this ladder dey run for almost every print.
The exact SQL behind every number
SELECT
ticker,
multiIf(ticker IN ('KO', 'JPM', 'XOM', 'JNJ', 'WMT'), 'NYSE listed', 'Nasdaq listed') AS listing_venue,
round(toFloat64(sum(volume)) / sum(transactions), 0) AS avg_shares_per_trade
FROM global_markets.stocks_daily_aggs
WHERE ticker IN ('KO', 'JPM', 'XOM', 'JNJ', 'WMT', 'AAPL', 'MSFT', 'INTC', 'CSCO', 'PEP')
AND date >= today() - 120
AND date < today() - 4
GROUP BY ticker
HAVING sum(transactions) > 0
ORDER BY avg_shares_per_trade DESCAcross 10 household names during the last four months, average trade print dey between 50 and 119 shares. Order for 1,000 shares fit pass through many separate allocation decisions, with the ladder running again each time.
Order for 1,000 shares, allocated round by round
The mechanics easier to see with hypothetical NYSE-listed book wey get offer at $50.00. Five interests dey wait for that price in this arrival order:
- Order A, public limit order for 300 shares. Na im first display $50.00, so na im be price setter.
- Order B, public limit order for 600 shares, wey enter some minutes later.
- Floor broker C, wey hold e-Quote for 600 shares.
- Floor broker D, wey hold e-Quote for 600 shares.
- The DMM, wey dey quote 500 shares.
Market order to buy 1,000 shares enter. Orders A and B dey inside the book, so together dem be one participant. With the two brokers and the DMM, four participants dey at $50.00.
Setter priority first pay Order A for the 300 shares wey e display when e set the price. 700 shares remain.
The balance dey go out in rounds. Round one give 100 shares each to the book, broker C, broker D and the DMM, leaving 300. Round two give 100 each to the book, broker C and broker D before the incoming order finish.
Final allocation: the book get 500 shares, broker C get 200, broker D get 200, and the DMM get 100. Inside the book’s 500, Order A don already full at 300, so the remaining 200 go to Order B.
Now run the same book again under strict price-time. Order A fill 300, Order B fill the full 600, and broker C take the final 100. Broker D and the DMM get nothing.
Order B enter second, but under parity e receive 200 shares, compared with 600 under price-time. Broker D enter fourth, but e receive 200 instead of zero. That 400-share difference na the full effect of parity.
Wetín price-time, pro-rata and parity each dey reward
Price-time priority pay strictly according to arrival order at each price. E reward speed: entering even small time earlier fit give you the whole fill before the next person.
Pro-rata allocation, common for futures and some options markets, share incoming order across resting quotes according to their displayed size. E reward size.
Parity reward presence. Any size wey pass the round lot needed to stay inside the rotation no dey buy extra rounds, and entering early no dey help after setter quantity don finish.
Wetín be D-Quote for NYSE?
D-Quote, short for discretionary e-Quote, na floor broker order wey carry discretionary price range around its limit. Broker fit trade inside that range without fresh instruction. Na only floor brokers fit enter am. These orders be not-held orders in character, because broker get discretion over price and timing.
The timing na the important part. MOC and LOC orders for NYSE closing auction must enter by 3:50 p.m. ET. After that time, dem fit only cancel am to correct legitimate error. Floor broker fit enter, modify or cancel d-Quote until 3:59:50 p.m. ET, ten seconds before the bell. Our guide to MOC and MOO order cutoff times list every auction deadline. That final window dey happen immediately before the biggest single match of the day.
Across the same names, the 16:00 ET minute, the bar wey carry the closing auction print, take between 0.6% and 3.6% of regular-session volume, with JNJ at the top of that range. No other part of the session dey gather that much size into one price, and our walkthrough of the NYSE closing auction explain how dem determine that single price.
Broker preferencing na different rule
Broker preferencing na matching rule for some non-US venues. Canadian equity markets na the standard example. When one firm carry both sides at the best price, its two client orders match each other before other participants for that price. The trigger na firm identity.
Parity no use that test. An e-Quote earn rounds by standing at the price as separate participant, no matter who dey on the opposite side. US equity markets no dey use broker preferencing.
Wetín parity mean for resting order
Queue position for NYSE-listed name get two layers. One na your time rank among other public orders at your price. The other na the book’s share of the rotation, wey dey reduce whenever another floor broker join that price. Public quote no show either layer: the NBBO publish price and total size, but e no show how many participants dey behind dem.
Fill model wey use price-time go misprice NYSE-listed names in both directions. E go overstate fills for early order at busy price, and understate fills for interest wey enter late, including floor interest.
Setter priority na the only part of this ladder wey public limit order fit win directly. Order wey improve NYSE best bid or offer, instead of joining the existing price, take the first part of the next order wey enter there, up to its displayed size.
How dem build these panels, and the closing print across two years
Every panel measure regular-session minutes only, from 09:30 to 16:00 ET. The 16:00 bar remain inside as the closing auction print. Each trailing window end four sessions back, away from ingest lag for the front edge of the tape.
The panel below track that print month by month for the same NYSE-listed name across the past two years.
The exact SQL behind every number
SELECT
month,
round(100 * sumIf(shares, minute_of_day = 960) / sum(shares), 1) AS closing_print_pct
FROM
(
SELECT
formatDateTime(toTimeZone(window_start, 'America/New_York'), '%Y-%m') AS month,
toFloat64(volume) AS shares,
toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York')) AS minute_of_day
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'KO'
AND window_start >= toStartOfMonth(today() - 730)
AND window_start < today() - 4
)
WHERE minute_of_day >= 570 AND minute_of_day <= 960
GROUP BY month
HAVING sum(shares) > 0
ORDER BY monthThe share wey dem measure na 2.4% for 2026-08, across 25 months of tape.
FAQ
Floor broker dey trade before earlier public order for NYSE?
Once setter priority don satisfy, yes. Floor broker e-Quote na its own participant inside parity rotation, while every public electronic order at that price share one participant slot. Arrival time rank orders inside the book; e no determine how allocation dey split among participants.
Wetín be D-Quote for NYSE?
Discretionary e-Quote wey floor broker enter, carrying price range wey broker fit trade inside without new instructions. E eligible for closing auction, and broker fit enter or change am until 3:59:50 p.m. ET. That na ten minutes after the 3:50 p.m. ET deadline wey bind MOC and LOC orders.
NYSE parity na the same thing as pro-rata allocation?
No. Pro-rata share fill according to displayed size, so bigger quote take bigger part. Parity give round lots one at a time to each participant, regardless of size. So 200-share e-Quote and 20,000-share book take the same quantity from each round.
Parity dey apply inside closing auction?
No. Round-by-round parity control continuous trading on NYSE book. Closing auction na separate single-price match with its own priority ladder. Na for this reason d-Quote timing window matter.
To measure the same allocation footprint for a name wey you dey follow, ask the question in plain English on the Strasmore terminal.