Impications of RegNMS on internalization
Folks:
One implication of RegNMS on firms internalizing orders is that if they
cross an order internally at a price better than the displayed BBO of the
market, then they must make good on all of the current orders at the top
of the book at each market center.
As a consequence, keeping track of the state of the market at the time
a trade was executed is now a very important compliance issue. This is
one reason why you are seeing an increase in interest in real-time tick
databases (e.g., StreamBase, Vhayu, Kx, etc.)
Cheers,
Prof. H.