Monday July 13, 2015

IEX Announces: Introducing Pre-Market and Post-Market Trading Sessions

IEX Trading Alert #2015 - 015

Please Route To: Business, Trading, Trade Support and Technology

What you need to know:

Effective Friday, August 21, 2015, IEX will begin to rollout extended hours trading with Pre-Market and Post-Market Sessions.

The Pre-Market Session will begin at 8:00 a.m. and conclude at 9:30 a.m. ET.
The Post-Market Session will begin at 4:00 p.m. and conclude at 5:00 p.m. ET.

Beginning Friday, August 14, IEX will enable Pre-Market and Post-Market Session matching and routing for the following test symbols in the Production Environment: CBO, CBX, ZBZX, ZJZZT, ZTEST, ZVV, ZVZZT, ZWZZT, ZXZZT

See below for non-test symbol rollout schedule.

IEX will offer testing of the Pre-Market and Post-Market Sessions in the Certification Environment beginning Monday, July 20.

Subscribers are encouraged to register for two weekend testing opportunities in the Production Environment prior to launch:

Saturday, July 25
Saturday, August 1

What are the new trading sessions at IEX?

The Pre-Market and Post-Market Sessions are continuous trading sessions scheduled immediately before and after IEX's Regular Market Hours, respectively. Orders may be executed on the ATS or routed away from the ATS during the Pre-Market, Regular and Post-Market Sessions, collectively known as “System Hours”.

Trading Sessions (effective August 21, 2015)	Start and End Time (all times are Eastern Standard)
Begin Order Entry Acceptance	8:00 a.m.
Pre-Market Session	8:00 a.m. - 9:30 a.m.
Regular Market Session	9:30 a.m. - 4:00 p.m.
Post-Market Session	4:00 p.m. - 5:00 p.m.

Why is IEX offering Pre-Market and Post-Market Sessions?

As part of the process to become a registered national securities exchange, IEX is incrementally introducing functionality that we plan to offer as part of our exchange operations. Daily support of extended trading hours is the next step in that process.

What order types and routing options will IEX support during Pre-Market and Post-Market Sessions?

IEX will only support limit orders during the Pre-Market and Post-Market Sessions. Market orders and pegged orders will not be eligible to trade or route during the Pre-Market and Post Market Sessions.

IEX will support all variations of display instructions, minimum quantity instructions, Anti-Internalization, Inter-market Sweep orders, and routable orders.

Routable orders during the Pre-Market and Post-Market Sessions will have access to all exchanges displaying a Protected Quotation. IEX will support the following routing strategies during the Pre-Market and Post-Market Sessions:

Router (Route to Take with Re-sweep)
Router+ (Route to Rest with Re-sweep)
SweepPost (Route to Take)
SweepPost+ (Route to Rest)
Route to Rest Away

Please refer to the Subscriber Manual for a full description of order type and order parameter behavior.

What time-in-force (TIF) values will be supported and how will the existing TIFs behave differently?

IEX will modify the behavior of the following existing TIFs:

Limit orders marked with a TIF of GTT will be eligible to trade immediately upon arrival. Orders marked GTT are available during System Hours and expire at the earlier of the Subscriber specified expire time or the conclusion of the Post-Market Session.
Order and TIF combinations not eligible for trading or queuing in the Pre-Market Session will be rejected, rather than accepted and canceled.

IEX will begin to support the following new TIFs when Pre-Market and Post-Market trading becomes available on Friday, August 21:

Good ‘til Extended Day (“GTX”): Orders entered into the System marked GTX may queue during the Pre-Market Session. When queued, orders will participate in the Opening Process (described below) before becoming available for the Regular Market Session. Orders marked GTX are available for trading or routing during both the Regular and Post-Market Sessions, and expire at the end of the Post-Market Session.
System Hours (“SYS”): Orders entered into the System marked SYS may trade or route during System Hours and expire at the end of the Post-Market Session.

Order Handling instructions by TIF

Limit Orders

Limit orders marked IOC are accepted and eligible to trade or route during the Pre-Market, Regular, and Post-Market Sessions.
Limit orders marked FOK are accepted and eligible to trade during Pre-Market, Regular, and Post-Market Sessions.
Limit orders marked DAY submitted before the open of the Regular Market Session are queued by the System until the Regular Market Session. Limit orders marked DAY submitted during the Regular Market Session are accepted and begin trading or routing immediately. Limit orders entered into the System marked DAY, if not fully executed or canceled by the Subscriber, expire at the end of the Regular Market Session. Limit orders marked DAY are rejected in the Post-Market Session.
Limit orders marked GTT are accepted and eligible to trade or route during the Pre-Market, Regular, and Post-Market Sessions. Limit orders entered into the System marked GTT begin trading or routing immediately and, if not fully executed or canceled by the Subscriber, expire at the earlier of the expiration time assigned by the Subscriber or the end of the Post-Market Session.
Limit orders marked GTX submitted before the open of the Regular Market Session are queued by the System until the Regular Market Session. Limit orders marked GTX submitted during the Regular Market and Post-Market Sessions are accepted and begin trading or routing immediately. Limit orders entered into the System marked GTX, if not fully executed or canceled by the Subscriber, expire at the end of the Post-Market Session.
Limit orders marked SYS are accepted and eligible to trade or route during Pre-Market, Regular, and Post-Market Sessions. Limit orders entered into the System marked SYS begin trading or routing immediately and, if not fully executed or canceled by the Subscriber, expire at the end of the Post-Market Session.

Market Orders

Market orders marked IOC are rejected during the Pre-Market and Post-Market Sessions. Market orders marked IOC are accepted and eligible to trade or route during the Regular Market Session.
Market orders marked FOK are rejected during the Pre-Market and Post-Market Sessions. Market orders marked FOK are accepted and eligible to trade during the Regular Market Session.
Market orders marked DAY, by default, are rejected. However, when the Subscriber’s port setting is enabled, Market orders marked DAY are accepted and eligible to trade or route during the Regular Market Session and are treated by the System as having a TIF of IOC.
Market orders marked GTT are rejected.
Market orders marked GTX are rejected.
Market orders marked SYS are rejected.

Pegged Orders

Pegged orders marked IOC are rejected during the Pre-Market and Post-Market Sessions. Pegged orders marked IOC are accepted and eligible to trade during the Regular Market Session. Primary Peg orders marked IOC are always rejected.
Pegged orders marked FOK are rejected during the Pre-Market and Post-Market Sessions. Pegged orders marked FOK are accepted and eligible to trade during the Regular Market Session. Primary Peg orders marked FOK are always rejected.
Pegged orders marked DAY submitted before the open of the Regular Market Session are queued by the System until the Regular Market Session. Pegged orders marked DAY submitted during the Regular Market Session are accepted and begin trading immediately. Pegged orders entered into the System marked DAY, if not fully executed or canceled by the Subscriber, expire at the end of the Regular Market Session. Pegged orders marked DAY are rejected during the Post-Market Session.
Pegged orders marked GTT are rejected during the Pre-Market and Post-Market Sessions. Pegged orders entered into the System marked GTT during the Regular Market Session begin trading immediately and, if not fully executed or canceled by the Subscriber, expire at the earlier of the expiration time assigned by the Subscriber or the end of the Regular Market Session.
Pegged orders marked GTX are rejected during the Pre-Market and Post-Market Sessions. Pegged orders marked GTX submitted during the Regular Market Session are accepted and begin trading immediately. Pegged orders entered into the System marked GTX, if not fully executed or canceled by the Subscriber, expire at the end of the Regular Market Session.
Pegged orders marked SYS are rejected during the Pre-Market and Post-Market Sessions. Pegged orders marked SYS are accepted and begin trading immediately during the Regular Market Session. Pegged orders entered into the System marked SYS, if not fully executed or canceled by the Subscriber, expire at the end of the Regular Market Session.

When orders are queued for the Regular Market Session, what is their behavior while queued and at market open?

Orders submitted during the Pre-Market Session may be queued for the Regular Market Session, if eligible (as described above).

The ATS conducts an Opening Process for the Regular Market Session:

Open orders resting on the order book at the conclusion of the Pre-Market Session will persist on the order book at the commencement of the Regular Market Session and retain their relative priority on the order book (book priority).
Orders not eligible for trading prior to the commencement of the Regular Market Session that are received during the Pre-Market Session are queued in the time sequence of their receipt by the System.
- Orders queued during the Pre-Market Session are processed as incoming orders at the commencement of the Regular Market Session in their relative queue priority.
- Orders in the queue receive a timestamp when entering the order book, therefore orders queued during the Pre-Market Session are entered onto the order book at an inferior time priority to orders that were resting on the order book at the conclusion of the Pre-Market Session.
The Opening Process occurs as a single atomic action. While the System is performing the Opening Process for a security, no incoming orders, amendments, or cancels are processed for the security. All executions during the Opening Process are constrained by the NBBO.

IEX's Opening Process is not being altered during this deployment; however, the eligibility of orders to be queued for the Regular Market Session and eligibility of orders to begin trading before the Opening Process will change (as described above).

While queued, if a Standard (IEX Only) order is amended by the Subscriber to reduce the quantity of the order, queue priority of the order will not change. All other amendments to IEX Only orders (e.g., increase in order quantity, changes to limit price and minimum quantity) will result in a new timestamp and cause the order to be placed at the back of the queue. While queued, if a routable order is amended in any way, the order will receive a new timestamp and be placed at the back of the queue.

Is IEX book priority changing in any way during the Pre-Market and Post-Market Sessions?

No.

During all trading sessions, orders will continue to be matched according to Price-Display-Time, with Broker Priority for non-displayed orders, including reserve portions of orders.

Does IEX plan to adhere to Rule 611 of Regulation NMS, or "trade-through" protection, during the Pre-Market and Post-Market Sessions?

Yes.

For any execution to occur on the ATS during the Regular Market Session, the applicable order price must be equal to or better than the Protected NBBO, unless the order is marked ISO or unless the execution falls within another exception set forth in Rule 611(b) of Regulation NMS. Similarly, for any execution to occur on the ATS during the Pre-Market Session or the Post-Market Session, the price must be equal to or better than the highest Protected Bid or lowest Protected Offer, unless the order is marked ISO or a Protected Bid is crossing a Protected Offer.

The terms “Protected Bid” and “Protected Offer” mean a bid or offer, respectively, in a stock that is (i) displayed by an automated trading center; (ii) disseminated pursuant to an effective national market system plan; and (iii) an automated quotation that is the best bid or best offer, respectively, of a national securities exchange or association.

Will the Midpoint Price Constraint remain in effect during the Pre-Market and Post-Market Sessions?

Yes.

Orders will continue to follow the Midpoint Price Constraint paradigm of the IEX order book.

Displayed orders and the displayed portion of reserve orders posting to the order book during the Pre-Market or Post-Market Sessions at prices equal to or more aggressive than the midpoint price of the highest Protected Bid and lowest Protected Offer (“Midpoint Price”) will be booked at a whole-MPV price level equal to or less aggressive than the Midpoint Price. Non-displayed orders and non-displayed portions of reserve orders posting to the order book during the Pre-Market or Post-Market Sessions at prices equal to or more aggressive than the Midpoint Price will be booked at a price equal to the Midpoint Price.

To reflect changes to the highest Protected Bid and lowest Protected Offer, the ATS will re-price all orders slid by the Midpoint Price Constraint each time the Protected Bid and Protected Offer changes, until the limit price of the order is reached, the order is fully executed, the order is canceled by the Subscriber, or the order is canceled consistent with its TIF instructions.

How do I submit orders during the Pre-Market and Post-Market Trading Sessions?

Eligibility to submit orders to IEX during the Pre-Market and Post-Market trading sessions is defined as a FIX port setting. The owner of each order-entry FIX port at IEX can configure the FIX port to allow order submission during Pre-Market and Post-Market Trading Sessions.

You may confirm your current port settings at any time by contacting IEX Market Operations. If your FIX port(s) settings are configured to allow order submission during Pre-Market and Post-Market Trading Sessions when IEX begins to support extended hours on Friday, August 21, Subscribers will be able to send orders with the applicable TIFs outside of the Regular Trading Session.

Prior to the scheduled launch of extended hours trading, IEX Market Operations will send out a communication to each Subscriber to confirm FIX port settings.

What are the fees for trades during Pre-Market and Post-Market Sessions?

Shares matched on the IEX order book continue to be charged the standard rate of 9 mils (.0009) per share for both the resting and taking Subscriber (i.e. both sides). Shares priced below $1.00 continue to be charged at a rate of 0.30% of the total dollar value of the trade. Displayed shares continue to trade for free for both the resting and taking Subscriber through September 30, 2015 as part of IEX's promotional pricing program.

Subscribers utilizing the IEX SOR continue to be charged the away venue execution cost to IEX plus 1 mil (.0001) for shares executed on away venues.

For more information see the IEX Pricing structure.

How does IEX handle One-Sided and Zero Markets?

One-Sided Markets

One-Sided Markets are markets which lack either a Protected Bid or a Protected Offer.

How IEX handles non-displayed interest during One-Sided Markets:

Non-displayed interest entering the IEX System will first test for marketable interest resting on the order book, but will be unavailable to trade once it posts on the order book.
Resting non-displayed interest on IEX is unavailable to trade.
When a two-sided market returns, non-displayed orders become available at their relative time priority.

How IEX handles displayable interest during One-Sided Markets:

When IEX receives displayable interest on the same side of the market WITH a Protected Bid or Protected Offer:
- Displayed interest marked IEX Only will post and display at the most aggressive allowable price.
- Routable displayable orders can route passively to rest on away market centers (i.e. Route to Rest) but cannot route to take.
When IEX receives displayable interest on the side of the market WITHOUT a best Protected quote:
- Displayed interest marked IEX Only will be eligible to trade with interest that is present on the IEX ATS and will be subject to IEX's Midpoint Price Constraint.
  - Midpoint Price Constraint: if the limit price of a displayed BUY (SELL) order is more aggressive than the best Protected Offer (Protected Bid), then IEX will post the order at one Minimum Price Variant less aggressive than the best Protected Offer (Protected Bid).
- For routable orders, IEX will attempt to take displayed Protected Quotations.

Zero Markets

In the event that neither a best Protected Bid nor Protected Offer exists, non-displayed interest is unavailable to trade. Displayable interest will post and display at the most aggressive allowable price. Displayable orders can route passively to rest on away market centers (i.e. Route to Rest). Non-displayed orders are not eligible to route when neither a best Protected Bid nor Protected Offer exists. When a two-sided market returns, non-displayed orders become available at their relative time priority.

Will TOPS and the TOPS Web Viewer be available during Pre-Market and Post-Market Sessions?

Effective August 21st, TOPS, IEX's direct data feed product, will be available in the Production Environment at 8:00 a.m. ET. Outside of the Regular Market Session, TOPS publishes a Market Session Flag of "1" in Quote Update messages. TOPS will be available until the close of the Post-Market Session.

Effective August 21st, the TOPS Web Viewer will be available from 8:00 a.m. - 8:00 p.m. ET. After the close of the Post-Market Session, the TOPS Web Viewer publishes zero quotes and volume matched on IEX that trading day. After 8:00 p.m. ET, the TOPS Web Viewer zeros out all data.

How can I test order submission prior to the scheduled launch of Pre-Market and Post-Market Sessions?

IEX will offer testing for the Pre-Market and Post-Market Sessions in the Certification Environment beginning Monday, July 20. To schedule a time for certification, please contact subscriber@iextrading.com or marketops@iextrading.com.

IEX will provide two (2) weekend test opportunities in the Production Environment prior to launching the new trading sessions:

Saturday, July 25
Saturday, August 1

On these days only, Subscribers can submit orders during the Pre-Market and Post-Market Sessions and consume TOPS for all symbols in the Production Environment.

To provide the appropriate support to firms testing during the Saturday tests, Subscribers are asked to register for the tests by contacting Market Operations.

What will be the scheduled start and end time of each session during the Saturday tests?

During both Saturday testing opportunities, the following schedule will be followed:

Saturday Testing Session	Start and End Time (all times are Eastern Standard)
Begin Order Entry Acceptance	8:00 a.m.
Pre-Market Session	8:00 a.m. - 9:30 a.m.
Regular Market Session	9:30 a.m. - 10:00 a.m.
Post-Market Session	10:00 a.m. - 11:30 a.m.

Note the above schedule is applicable only on Saturday, July 25 and Saturday, August 1.

What is the production deployment schedule for extended trading hours?

The planned release time frames for extended hours trading are below:

Friday, August 14: Test symbols (CBO, CBX, ZBZX, ZJZZT, ZTEST, ZVV, ZVZZT, ZWZZT, ZXZZT) enabled matching and routing during the Pre-Market and Post-Market Sessions on IEX
Friday, August 21: Matching on IEX enabled for 10 non-test symbols during Pre-Market and Post-Market Sessions
Monday, August 24: Matching on IEX enabled for 100 non-test symbols during Pre-Market and Post-Market Sessions
Tuesday, August 25: Matching on IEX enabled for 1,000 non-test symbols during Pre-Market and Post-Market Sessions
Wednesday, August 26: Matching during Pre-Market and Post-Market Sessions enabled for ALL symbols on IEX
Friday, August 28: Routing enabled for 10 non-test symbols during Pre-Market and Post-Market Sessions
Monday, August 31: Routing enabled for 100 non-test symbols during Pre-Market and Post-Market Sessions
Tuesday, September 1: Routing enabled for 1,000 non-test symbols during Pre-Market and Post-Market Sessions
Wednesday, September 2: Routing during Pre-Market and Post-Market Sessions enabled for ALL symbols

Note the symbols in scope for each day above will be announced via a Trading Alert in August.

Where can I learn more?

IEX FIX Specification.
IEX TOPS Specification.
IEX Subscriber Manual.
Contact IEX Sales at 646.343.2100 or subscriber@iextrading.com.
Contact IEX Market Operations at 646.343.2300 or marketops@iextrading.com.
Become an IEX Subscriber.
IEX Frequently Asked Questions.

About IEX

Dedicated to institutionalizing fairness in the markets, IEX provides a more balanced marketplace via simplified market structure design and cutting-edge technology. IEX operates a fair-access platform accessible by any qualified broker dealer. IEX is driven by a team of cross-industry experts with backgrounds spanning market venues, electronic trading, and broker-dealers. IEX is the first equity trading venue seeded exclusively by a consortium of buy-side investors, including mutual funds, hedge funds, and family offices. Learn more at: iextrading.com.