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IEX Announces: Minimum Execution Size with All or None Functionality

IEX Trading Alert #2014 - 026

Please Route To: Trading, Trade Support, and Technology

What you need to know:

  • Minimum Execution Size with All or None (MinExec with AON) is a variant of Minimum Execution Size, one of two methods IEX supports for satisfying Minimum Quantity instructions (Composite or Minimum Execution Size).
    • MinExec with AON will treat unfilled shares that fall below an order's Minimum Quantity (MQTY) value as an AON, i.e. must be filled in its entirety with one contra.
  • MinExec with AON will be available on Monday, January 5, 2015.
    • MinExec with AON may be defaulted by session or selected on an individual MQTY order by sending a value of "A" in FIX Tag 9500.
    • The IEX Fix Specification has been updated to include this new functionality; Subscribers are encouraged to test their implementation in the IEX Certification environment beginning today.

What is changing?

Today when an order with MinExec Minimum Quantity has its remaining shares decremented below its Minimum Quantity size, the IEX System will Cancel those remaining shares back to the Subscriber. MinExec with AON is an option which allows a Subscriber to keep such orders on the IEX Book to be treated as All or None rather than Cancel back.

How does Composite differ from Minimum Execution Size?

IEX supports two methods for satisfying MQTY. MinExec with AON will be a variant of the second method, Minimum Execution Size:

  • How Composite behaves (as described in Trading Alert #2014-005):
    • Resting Orders – execute against active orders which individually meet or exceed the MQTY requirement.
    • Active Orders (that test against the IEX Book) – may execute 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 MinExec behaves (as described in Trading Alert #2014-013):
    • Resting Orders – execute against active orders which individually meet or exceed the MQTY requirement.
    • Active Orders – execute against orders which individually meet or exceed the MQTY requirement.
    • When a partial-fill reduces an order's remaining unfilled shares below the original MQTY value, the following two options are available:
      • MinExec with Cancel: the remaining shares are canceled back to the Subscriber.
      • MinExec with AON: the remaining shares are treated as an All or None, i.e. must be filled in its entirety with one contra.

How do I specify which MQTY method to use for a specific order?

  • Populate FIX Tag 9500 with one of three supported values:
    • "C" for Composite handling.
    • "M" for Minimum Execution Size with Cancel handling.
    • "A" for Minimum Execution Size with All or None handling.
  • Note: Tag 9500 is only valid if Tag 110 (MQTY) is sent. Tag 9500 is ineligible to be amended.

How do I set a default MQTY method?

Subscribers who wish to default to a particular MQTY method should contact Market Operations at 646.568.2330 or marketops@iextrading.com.

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.