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IEX Announces: Updates to Minimum Quantity Instructions and Order Amendment Behavior

IEX Trading Alert #2014 - 021

Please Route To: Trading, Trade Support, and Technology

What you need to know:

  • In mid-October, on a date to be announced, IEX will offer increased flexibility for Subscribers to specify – on an order-by-order basis – "Composite" or "Minimum Execution" method for satisfying the Minimum Quantity (MQTY) order parameter.
    • MQTY order instruction may also be defaulted by session (existing behavior).
  • For orders marked IEX-only (non-routable), IEX is changing the behavior of Pending Order Amendment messages.
  • The IEX FIX Specification has been updated to include this new functionality; Subscribers are encouraged to test their implementation in the IEX Certification environment.

What is the difference between Composite and Minimum Execution Size order instructions?

Composite and Minimum Execution Size are alternate methods for satisfying the Minimum Quantity requirement on Minimum Quantity orders.

  • How Composite works (as described in Trading Alert #2014-005):
    • Resting Orders – execute against active orders which individually meet or exceed the MQTY size requirement.
    • Active Orders (that test against the IEX Book) – composite functionality can fill an order with a MQTY instruction against multiple resting orders when the cumulative sum of contra-side liquidity meets or exceeds the MQTY requirement.
    • When a partial-fill reduces an order’s remaining unfilled shares below the original MQTY value, the MQTY value is defined as equal to the remaining unfilled shares.
  • How Minimum Execution Size works (as described in Trading Alert #2014-013):
    • Resting Orders – execute against orders which individually meet or exceed the MQTY requirement.
    • Active Orders – execute against orders which individually meet or exceed the MQTY requirement.
      • When reaching a resting order that does not meet or satisfy the MQTY requirement, cancel or book based on TIF.
    • When a partial-fill reduces an order’s remaining unfilled shares below the original MQTY value, the remaining shares are canceled back to the Subscriber.

How do I specify Composite or Minimum Execution Size for a specific order with a Minimum Quantity requirement?

  • Populate Tag 9500 with one of two supported values:
    • "C" for Composite handling.
    • "M" for Minimum Execution Size handling.
  • Note: Tag 9500 is only valid if Tag 110 (MQTY) is sent. Tag 9500 is ineligible to be amended.

How do I set my MQTY order instruction default?

Subscribers who wish to switch between the default Composite methodology and the Minimum Execution Size methodology should contact Market Operations at 646.568.2330 or marketops@iextrading.com.

What is changing with IEX Pending Order Amendment messages?

Currently, when a Subscriber sends an Order Amendment Request for any order previously sent to IEX, the IEX Trading System will first generate a Pending Amendment Message, and then generate an Amendment Message.

This behavior will remain unchanged for orders marked as routable. IEX Subscribers mark orders as routable through FIX tag #18 "ExecInst" (i.e. defining tag #18 with a value of "t", "u", or "v").

Effective in mid-October on a date to be announced, IEX will no longer generate Pending Order Amendment Messages for IEX-only (non-routable) orders.

Pending Amendment Messages were acknowledged as redundant for IEX-only orders, because no delay exists between the IEX Trading System's successful receipt of a Subscriber's Amendment Request Message and the Amendment Message generated in response. This process is performed as a single, continuous action, which renders the IEX-only order's Pending Amendment Message as un-actionable and unnecessary for IEX Subscribers.

Where can I learn more?

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.