For you traders out there, we just announced the circuit-breaker levels for the third quarter of 2009, effective tomorrow, 1 July.

From the press release:

… Circuit-breaker points represent the thresholds at which trading is halted marketwide for single-day declines in the Dow Jones Industrial Average (DJIA). Circuit-breaker levels are set quarterly as 10, 20 and 30-percent of the DJIA average closing values of the previous month, rounded to the nearest 50 points.

In third-quarter 2009, the 10, 20 and 30-percent decline levels, respectively, in the DJIA will be as follows:

Level 1 Halt
A 850-point drop in the DJIA before 2 p.m. will halt trading for one hour; for 30 minutes if between 2 p.m. and 2:30 p.m.; and have no effect if at 2:30 p.m. or later unless there is a level 2 halt.

Level 2 Halt
A 1,700-point drop in the DJIA before 1:00 p.m. will halt trading for two hours; for one hour if between 1:00 p.m. and 2:00 p.m.; and for the remainder of the day if at 2:00 p.m. or later.

Level 3 Halt
A 2,600-point drop will halt trading for the remainder of the day regardless of when the decline occurs.

Background:
Circuit-breakers are calculated quarterly. The percentage levels were first implemented in April 1998 and are adjusted on the first trading day of each quarter. In 2009, those dates are Jan. 2, April 1, July 1 and Oct. 1.

As I always say, may we never need to consult these procedures, but there they are, just in case. Also for future (hope not) reference, a handy graphic of the breakers can be found at this link.

And now for the trivia:

Today in NYSE History (NYX.com)
30 June 1952 — The first NYSE-sponsored shareownership survey revealed that 6.5 million Americans own common stock.

For you traders out there, we just announced the circuit-breaker levels for the third quarter of 2009, effective tomorrow, 1 July.

From the press release:

… Circuit-breaker points represent the thresholds at which trading is halted marketwide for single-day declines in the Dow Jones Industrial Average (DJIA). Circuit-breaker levels are set quarterly as 10, 20 and 30-percent of the DJIA average closing values of the previous month, rounded to the nearest 50 points.

In third-quarter 2009, the 10, 20 and 30-percent decline levels, respectively, in the DJIA will be as follows:

Level 1 Halt
A 850-point drop in the DJIA before 2 p.m. will halt trading for one hour; for 30 minutes if between 2 p.m. and 2:30 p.m.; and have no effect if at 2:30 p.m. or later unless there is a level 2 halt.

Level 2 Halt
A 1,700-point drop in the DJIA before 1:00 p.m. will halt trading for two hours; for one hour if between 1:00 p.m. and 2:00 p.m.; and for the remainder of the day if at 2:00 p.m. or later.

Level 3 Halt
A 2,600-point drop will halt trading for the remainder of the day regardless of when the decline occurs.

Background:
Circuit-breakers are calculated quarterly. The percentage levels were first implemented in April 1998 and are adjusted on the first trading day of each quarter. In 2009, those dates are Jan. 2, April 1, July 1 and Oct. 1.

As I always say, may we never need to consult these procedures, but there they are, just in case. Also for future (hope not) reference, a handy graphic of the breakers can be found at this link.

And now for the trivia:

Today in NYSE History (NYX.com)
30 June 1952 — The first NYSE-sponsored shareownership survey revealed that 6.5 million Americans own common stock.

Both Traders Magazine and the Wall Street Journal’s MarketBeat blog report this afternoon that Goldman Sachs Electronic Trading will begin reporting volume executed on its dark pool based on single-counted matched executions. So there is some movement concerning one of the SEC’s expressed concerns, namely the lack of uniform reporting standards among dark pools.

Again, more to come on this issue.

“Inching Toward Dark Pool Reporting” (Traders) Excerpt:

Last week Goldman Sachs Electronic Trading told clients it would begin reporting volume executed in Sigma X, its dark pool, based on single-counted matched executions. This is a departure from how Goldman has been calculating Sigma X volume. Dark pool operators generally are now mulling their options after the Securities and Exchange Commission expressed concern over the lack of reporting standards.

“Without an absolute industry protocol, we’re advocating doing what exchanges have been doing for a very long time: reporting single-counted matched-only volume,” said Dave Johnsen, vice president for Sigma X business development at Goldman. “If everyone else puts themselves on the same metric, the dark-pool numbers will add up to 100 percent of dark-pool volume.”

“Light is Coming to Dark Pools” (MarketBeat) Excerpt:

Dark-pool administrators be warned: the regulators are coming.

It may not have been Paul Revere’s historic ride to Lexington and Concord, but recent comments from U.S. Securities and Exchange Commission Chairman Mary Schapiro carried just as loudly to those running non-displayed markets. These opaque trading centers have faced a steady stream of criticism from exchanges, market makers and retail investors, who claim they have been hurt by dark pools’ proliferation. But since these pools provide added liquidity to the market, regulators have been leery to interfere - until now.

Reference to the American Revolutionary War, as Independence Day approaches next weekend, duly noted.

Both Traders Magazine and the Wall Street Journal’s MarketBeat blog report this afternoon that Goldman Sachs Electronic Trading will begin reporting volume executed on its dark pool based on single-counted matched executions. So there is some movement concerning one of the SEC’s expressed concerns, namely the lack of uniform reporting standards among dark pools.

Again, more to come on this issue.

“Inching Toward Dark Pool Reporting” (Traders) Excerpt:

Last week Goldman Sachs Electronic Trading told clients it would begin reporting volume executed in Sigma X, its dark pool, based on single-counted matched executions. This is a departure from how Goldman has been calculating Sigma X volume. Dark pool operators generally are now mulling their options after the Securities and Exchange Commission expressed concern over the lack of reporting standards.

“Without an absolute industry protocol, we’re advocating doing what exchanges have been doing for a very long time: reporting single-counted matched-only volume,” said Dave Johnsen, vice president for Sigma X business development at Goldman. “If everyone else puts themselves on the same metric, the dark-pool numbers will add up to 100 percent of dark-pool volume.”

“Light is Coming to Dark Pools” (MarketBeat) Excerpt:

Dark-pool administrators be warned: the regulators are coming.

It may not have been Paul Revere’s historic ride to Lexington and Concord, but recent comments from U.S. Securities and Exchange Commission Chairman Mary Schapiro carried just as loudly to those running non-displayed markets. These opaque trading centers have faced a steady stream of criticism from exchanges, market makers and retail investors, who claim they have been hurt by dark pools’ proliferation. But since these pools provide added liquidity to the market, regulators have been leery to interfere - until now.

Reference to the American Revolutionary War, as Independence Day approaches next weekend, duly noted.

After I’ve been nagging you for a week, today it’s finally here: the annual reconstitution of the Russell indices, when hundreds of NYSE- and NYSE Amex-listed issues go in and out of the indices. If you’ve been in a cave the last few days, here is our post with links to the relevant procedures and policies. We’re not anticipating a problem, but better to be over-prepared, yes?

That also means today is the final installment in our little Great Russells in World History series. I’ve saved my personal favorite for last. Today’s Great Russell is…..

Bucky Dent.

Bucky Dent? Yes, Bucky Dent, born Russell Earl O’Dey. Yankee shortstop of the 1970s who in 1978 hit the decisive home run to lead the Yanks to a comeback win over the Red Sox in a one-game playoff for the pennant. The game capped a miraculous comeback pennant drive and opened the path to another World Series championship for the Yanks. In short, the kind of performance Yankee fans haven’t seen in October since, um, far longer than I care to remember. Here’s a recent piece in the New York Times with Bucky reflecting back on that time.

How did I remember that his given name was Russell? Your humble blogger has an amazing capacity for retaining absolutely useless, trivial nonsense, as Mrs. Humble Blogger reminds him with some regularity.

Forgive my bringing all that up, Sox fans. It’s been kinda tough for us Yankee faithful recently. Anyway, hope you’ve enjoyed our little runup to Russell. Have a good Friday and weekend.

I’ve been a little too busy to post today but the Closing Bell has clanged, tomorrow’s Russell Indices recomposition draws nigh (draws nigh? Where did that come from?), and I did promise you a daily installment of Great Russells in World History. Here’s one you probably didn’t expect, unless you were really paying attention in school:

Bertrand Russell.

Who, you say?

Bertrand Arthur William Russell (b.1872 - d.1970) was a British philosopher, logician, essayist, and social critic, best known for his work in mathematical logic and analytic philosophy. His most influential contributions include his defense of logicism (the view that mathematics is in some important sense reducible to logic), and his theories of definite descriptions and logical atomism. Along with G.E. Moore, Russell is generally recognized as one of the founders of analytic philosophy. Along with Kurt Gödel, he is also regularly credited with being one of the two most important logicians of the twentieth century. …

Over the course of his long career, Russell made significant contributions, not just to logic and philosophy, but to a broad range of other subjects including education, history, political theory and religious studies. In addition, many of his writings on a wide variety of topics in both the sciences and the humanities have influenced generations of general readers. After a life marked by controversy (including dismissals from both Trinity College, Cambridge, and City College, New York), Russell was awarded the Order of Merit in 1949 and the Nobel Prize for Literature in 1950. Also noted for his many spirited anti-war and anti-nuclear protests, Russell remained a prominent public figure until his death at the age of 97. …

Russell’s contributions to logic and the foundations of mathematics include his discovery of Russell’s paradox, his defense of logicism (the view that mathematics is, in some significant sense, reducible to formal logic), his development of the theory of types, and his refining of the first-order predicate calculus.

Russell discovered the paradox that bears his name in 1901, while working on his Principles of Mathematics (1903). The paradox arises in connection with the set of all sets that are not members of themselves. Such a set, if it exists, will be a member of itself if and only if it is not a member of itself. The paradox is significant since, using classical logic, all sentences are entailed by a contradiction. Russell’s discovery thus prompted a large amount of work in logic, set theory, and the philosophy and foundations of mathematics.
– (Stanford Encyclopedia of Philosophy)

“The paradox arises in connection with the set of all sets that are not members of themselves. Such a set, if it exists, will be a member of itself if and only if it is not a member of itself.”

And you didn’t think you were going to learn anything today!

Tune in tomorrow for the final episode of Great Russells. Can you stand the suspense?

From Marisa Ricciardi: What better way to ring in a birthday than to celebrate it with millions of viewers worldwide? On June 18, Southwest Airlines (NYSE: LUV) did just that. In honor of the occasion, Chairman, President and CEO Gary Kelly rang the Opening Bell to commemorate the event as well as promote their new presence at LaGuardia Airport. Starting June 28, Southwest will begin service to LaGuardia with eight daily roundtrips flights between Baltimore and Chicago.

Prior to the bell ringing, Gary Kelly and Southwest employees handed out birthday cupcakes and their signature LIFT coffee to traders and NYSE employees. Check out the video above, which highlights their NYSE experience.

From Marisa Ricciardi: What better way to ring in a birthday than to celebrate it with millions of viewers worldwide? On June 18, Southwest Airlines (NYSE: LUV) did just that. In honor of the occasion, Chairman, President and CEO Gary Kelly rang the Opening Bell to commemorate the event as well as promote their new presence at LaGuardia Airport. Starting June 28, Southwest will begin service to LaGuardia with eight daily roundtrips flights between Baltimore and Chicago.

Prior to the bell ringing, Gary Kelly and Southwest employees handed out birthday cupcakes and their signature LIFT coffee to traders and NYSE employees. Check out the video (originally posted on Southwest’s blog), which highlights their NYSE experience.

Turns out the announcement about our new platform for market data was not the only news of the day on the technology front. This came out this afternoon:

NYSE Euronext and Juniper Networks Announce Plans for Ultra-Low Latency Network for Global Trading Data Centers;
Juniper’s Data Center Infrastructure Solutions Offer Speed, Efficiency and Cloud Computing Vision to World’s Fastest Financial Trading Network

NYSE Euronext…and Juniper Networks…today announced the companies are working together to design a state-of-the-art, ultra-low latency core network for NYSE Euronext’s new consolidated global data centers. Located in the greater New York and London metropolitan areas, NYSE Euronext’s two new data centers will be the primary operational infrastructure supporting several billion daily transactions and quotes across diverse asset classes and geographies, and will be instrumental in NYSE Euronext’s effort to consolidate the total number of its global data centers from ten to four. Expected to be operational in 2010, the new facilities will provide much greater network scale and efficiency, with plans to utilize Juniper’s Data Center Infrastructure Solutions and advanced data center fabric technology to support an unprecedented internal latency of 50 microseconds roundtrip.

“Juniper’s simplified data center approach will allow us to deploy a complete 10 Gigabit Ethernet network with ultra-low latency at a substantial cost savings,” said Steve Rubinow, executive vice president and co-global CIO of NYSE Euronext. “Juniper has developed truly unique and innovative technologies that help us to deploy a very high capacity, low latency network that meets the stringent demands of the new data center. With Juniper, we are able to dramatically cut the cost and complexity of managing our data center network today, while continuing to enhance our competitive position with a next-generation data center fabric that will enable us to scale to tens of thousands of 10GbE ports. With such an elastic and efficient infrastructure, we can provide enhanced functionality to our customers at unmatched scale while minimizing total cost of ownership.”

Leveraging the high-performance switching and routing technologies of the Juniper Networks EX Series Ethernet Switches and MX Series Ethernet Services Routers, the NYSE Euronext trading platform is being designed to enable the total network performance, reliability, security and throughput essential to ensuring that NYSE Euronext, the world’s largest and most liquid cash exchange, provides its clients with the technology to succeed in the low latency, high-frequency trading market.

“Competitiveness in the global financial markets is measured in microseconds and the NYSE Euronext trading platform is one of the world’s premiere high-performance networks, supporting billions of transactions each day,” said Kevin Johnson, Chief Executive Officer of Juniper Networks. “The NYSE Euronext technology vision is in alignment with Juniper’s next generation data center roadmap, which will lead to the creation of a single data center fabric that will deliver a quantum advance in scale, performance and simplicity, while lowering energy consumption and reducing overall operating costs.”

As a substantial piece of the technology synergies being achieved from the NYSE Group/Euronext N.V. merger consummated in 2007, NYSE Euronext is committed to realizing the substantial cost savings and management efficiencies from consolidating its global data centers to four, including the two newly-designed structures in the greater New York and London metropolitan areas that will complement the already existing data centers in Paris and New York.

“The challenge of building next generation trading platforms requires new levels of cooperation between network, compute, and storage engineers on internal teams and in cooperation with technology suppliers,” said Abner Germanow, director of IDC’s Enterprise Communications Infrastructure services. “NYSE Euronext’s business performance is directly correlated with the performance of their network, validating Juniper’s strategy and helping to drive innovation for one of the most demanding networks in the world.”

By collapsing the multiple switching layers present in traditional network architectures, the new simplified NYSE Euronext network design requires fewer devices and interconnections, leading to improved efficiencies in space, power, cooling and management. Juniper Networks Data Center Infrastructure Solutions can significantly reduce network complexity and total cost of ownership by up to 52 percent in capital expenditures, up to 44 percent in power, up to 44 percent in cooling and up to 55 percent in data center rack space.

The data center core designs are anchored by the EX8216 Ethernet Switch, purpose-built to deliver the wire-speed performance, low latency, carrier-class reliability and scalability to enable NYSE Euronext to consolidate network layers and reduce capital and operational expenses across the infrastructure. The architecture uses top of rack EX2500 Ethernet Switches to provide access connectivity to the data centers’ high-performance servers with 10GbE ports that deliver wire-speed throughput. NYSE Euronext also plans to leverage the advanced routing capabilities, such as MPLS network virtualization, low-latency multicast, advanced quality of service (QoS), and high availability of Juniper’s family of MX Series Ethernet Services Routers.

The EX8216 and MX Series run on JUNOS® Software, a single source operating system that integrates routing, switching, security and network services, offering NYSE Euronext network administrators the ability to quickly and cost-effectively keep up with changing business demands and easily customize new services and applications.

This was just announced at the SIFMA annual tech conference:

NYSE Technologies, the innovative commercial technology unit of NYSE Euronext, today announced the launch of its next generation market data infrastructure, NYSE Technologies’ Market Data Platform V5. This revolutionary ticker plant technology is designed specifically for high-volume and latency sensitive markets, delivering data in microseconds rather than milliseconds. It offers 10 times the overall performance of previous generation market data platforms while allowing customers to reduce their hardware footprint by as much as 80%.[1]

The accelerated Market Data Platform V5 has been carefully engineered to deliver extremely high throughput and low latency market data delivery, providing significant value for co-location solutions, high frequency trading and enterprise ticker plant deployments. It is built on NYSE Technologies’ Data Fabric middleware, a proven technology that drives the most advanced ultra-low latency infrastructure in the marketplace.

“NYSE Technologies’ Market Data Platform V5 is game-changing. It represents a quantum leap forward in nearly every aspect of market data distribution,” said Stanley Young, CEO, NYSE Technologies and co-global CIO, NYSE Euronext. “Through this accelerated new system we offer microsecond message processing at peak rates and single-server application, enabling our clients to benefit from a significant reduction in hardware investment and operation costs. When multiplied across high-availability and disaster recovery sites, the cost savings can be exponential. We are very excited to demonstrate the astonishing potential of this integrated platform to our customers, particularly in tandem with the complete NYSE Technologies market data product suite.”

NYSE Technologies’ performance benchmarks, certified by Intel Fastlab, confirm that Market Data Platform V5 offers continuous throughput of 500,000 messages per second on a single CPU core, with a mean latency of less than 40 microseconds over Remote Direct Memory Access (RDMA) and an ultra-low latency range of 10-20 microseconds over Local Direct Memory Access (LDMA) – ideal for co-location servers.

Stephen S. Pawlowski, Intel Senior Fellow, Digital Enterprise Group Chief Technology Officer, Digital Enterprise Group and General Manager, Architecture and Planning said, “NYSE Technologies’ Market Data Platform V5 with Data Fabric takes advantage of Intel Xeon processor 5500 series-based servers with Intel Quick Path Interconnect. The scalability and low latency of Market Data Platform V5 combined with the performance of the Intel Xeon processor further increases its capabilities as a market data platform. Together, Market Data Platform V5 dramatically reduces the server footprint in the data center to create a cost effective solution on industry standard hardware.”

NYSE Technologies’ Market Data Platform V5 supports a wide range of integration options, (including LDMA, RDMA, TCP ) and is vendor neutral allowing deployment on any hardware platform that supports Linux. This flexibility ensures that this accelerated platform can be incorporated easily into virtually any environment. It can run on existing or new hardware and it can interoperate with legacy infrastructure. Market Data Platform V5 is designed to scale with ease from a single server installation, where the feed handlers, Market Access Gateways (MAGs) and client applications run on the same machine, up to larger distributed enterprise ticker plants with sophisticated message distribution requirements.

Designed to have the lowest total cost of ownership possible, Market Data Platform V5 combines cost effectiveness with the unparalleled speed and processing power that has made NYSE Technologies the market data technology vendor of choice for the top 10 global financial institutions. The platform supports all high-volume US markets and is currently being rolled out to other latency-sensitive markets in the US and Europe

Market Data Platform V5 is cross-compatible with NYSE Technologies’ market-leading Feed Handler Suite which offers more than 160 feed handlers for extensive global market coverage. Firms interested in reducing the hardware footprint of this global ticker plant solution can pair the platform with the Data Fabric middleware.

For more information on NYSE Technologies’ Market Data Platform V5, please visit: www.nyse.com/marketdataplatformV5

[1] Hardware utilization measurement based upon independent tests. Results may vary. NYSE Technologies does not guarantee any savings or level of performance.

Happy Wednesday, folks. As we continue approaching Friday’s Russell indices reconstitution, here’s your daily dose of Great Russells in World History, suggested by my former colleague and music aficionado and erstwhile guitar student, Joyce Goldzman: Leon Russell.

Leon is the under-appreciated songwriter and musician who had a hand in “River Deep, Mountain High” by Ike and Tina Turner, “A Taste of Honey” by Herb Alpert, “This Diamond Ring” by Gary Lewis and the Playboys, “Mr. Tambourine Man” by the Byrds and Joe Cocker’s cover of “The Letter.” He also played with, among many others, Sinatra, Dylan, the Stones, and very memorably in the Concert for Bangladesh. He also had a hit with his “Tight Rope” and wrote the gorgeous “A Song for You.” Worth checking out if you don’t know him, and worthy of his place among the esteemed Great Russells in World History. Thanks for the nomination, Joyce.

And who will tomorrow’s Great Russell be? Nominations are still open, in the comment box below.