Fill rates for exchange families below with total weighted average fill rate across all Reg NMS "protected" market centers:
*Method of calculation: First Wave Fill Rate
For each order routed upon receipt by the Exchange to protected quotations at the National Best Bid and Offer ("NBBO"), the first wave fill rate ("fill rate") is calculated by dividing the number of shares filled at an away venue by the lesser of either the size of the order or quoted shares at such venue.1 The maximum fill rate for an order is 100%, never greater; therefore, if the IEX Router sent an oversized order (i.e., order size greater than quoted shares) and receives a fill larger than the displayed quotation at the venue, the fill rate would be 100%.
To illustrate with several examples:
- Example 1: Fill Less than Quoted Shares
2,000 shares are displayed at a venue, the IEX Router routes an order for 2,200 shares to the venue. 1,500 shares are filled of the 2,000 displayed that the router attempted to capture, so the fill rate is 75% (1500 ÷ 2000 = 0.75).
- Example 2: Fill Less than Order Size
2,000 shares are displayed at a venue, the IEX Router routes an order for 1,000 shares to the venue. 500 shares are filled of the 1,000 the router attempted to capture, so the fill rate is 50% (500 ÷ 1000 = 0.5).
- Example 3: Fill Greater than Quoted Shares
2,000 shares are displayed at a venue, the IEX Router routes an order for 3,000 to the venue. 2,500 shares are filled of the 2,000 displayed, so the fill rate is 100% (2500 > 2000, therefore 1).
- Orders routed at prices more aggressive than the NBBO after all shares at the NBBO have been exhausted (if the order’s limit is more aggressive than the NBBO upon receipt).
- Orders from subsequent routing waves attempting to capture reserve liquidity at the same price level (e.g., "double pump").
- Short sale orders not marked short exempt for covered securities subject to Rule 201 of Regulation SHO that are subject to the Short Sale Price Test (exclusion started in January 2017).
- Non-marketable orders that rest on the IEX Order Book upon receipt by the Exchange, which may subsequently route in accordance with Re-sweep behavior (exclusion started in January 2017).
The above data is designed to reflect the standard experience of brokers utilizing the IEX router, and excludes a limited number of select brokers who use the router in a non-standard manner - namely simultaneously routing to other exchanges while sending IEX routable orders.