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IEX Trading Alert #2016-023: Clarification to Prior Announcement IEX Trading Alert #2016-014: Important Technical Notice Regarding IEX Transition from ATS to Exchange

IEX Trading Alert #2016 - 023

Please Route To: Trading, Compliance, Operations, and Trade Support

What you need to know:

  • In preparation for Investors Exchange launch, pending SEC approval, the following ATS features will be retired on the dates identified below:
    • Default MaxFloor (FIX tag 111) Override: July 11, 2016
    • Conversion of Orders with Time-in-Force of SYS or GTX to a Time-in-Force of DAY: July 11, 2016
    • Broker Priority: July 25, 2016
  • IEX will begin populating two (2) new FIX tags on Execution Report and Trade Bust messages for executions from away venues and on the IEX Order Book in securities that have migrated to Investors Exchange:
    • NoContraBrokers (FIX tag 382) = 1
    • ContraBroker (FIX tag 375) = IEXG

Which port configurations will be retired and when?

The following functionality will be retired from the Equities Port Request Form and the ATS on Monday, July 11, 2016:

  • Default MaxFloor (111) Override setting: IEX ATS currently allows Subscribers to utilize a feature to enforce a value of "0" (zero) for MaxFloor (111) regardless of the value entered. This feature allows incoming orders from such Subscriber to default to non-displayed orders. On July 11, the Default Max Floor Override will no longer apply, so the MaxFloor value will be used to define the number of shares displayed on IEX. In addition, if MaxFloor (111) is left blank, IEX will no longer default to "0" (zero) for limit orders, and the entire limit order quantity will be displayed. Omission of MaxFloor (111) for pegged orders will continue to express non-displayed pegged orders only.
  • Conversion of Orders with Time-in-Force of SYS or GTX to a Time-in-Force of DAY: IEX ATS offers Subscribers the ability to enable their session settings to convert orders with a Time-in-Force ("TIF") of SYS and GTX to a TIF of Day.

How will IEX identify securities that have migrated to Investors Exchange?

Pending SEC approval, securities will migrate from the IEX ATS to Investors Exchange using a security-by-security phase-in approach as communicated in Trading Alert #2016-010. For securities that have migrated to Investors Exchange, IEX will populate two (2) new FIX tags on Execution Report and Trade Bust messages for executions received on either IEX or an away venue.

  • NoContraBrokers (382) = 1
  • ContraBroker (375) = IEXG

Note that executions processed on the IEX ATS or at external trading centers will not populate FIX tags 382 and 375.

Which book priority functionality will change and when?

Pending SEC approval of our exchange filing, the following functionality will be retired from the ATS:

  • Broker Priority: Broker Priority was designed to allow a single Broker match a buyer and seller of the same security before trading any residual interest against other IEX ATS participants. This feature was not part of our exchange filing and will be removed as of July 25, 2016.

Please note that "Broker Internalized" matches will continue to be free of charge even after Broker Priority is removed from the book priority of the IEX ATS.

On Monday, July 25, orders will be matched according to Price-Display-Time book priority. Book priority is best illustrated as:

  • Best Price;
    • → Displayed;
      • → Time.
    • → Non-Displayed;
      • → Time.

What are the testing opportunities for the changes identified in this alert?

The port configuration and FIX field changes will be available for testing in IEX's Certification environment beginning Monday, May 30. While IEX does not require that future members of Investors Exchange re-certify for NoContraBrokers (382) and ContraBroker (375), certification is recommended.

The port configuration, FIX field, and book priority change will also be available for testing in IEX's Production environment during the Saturday testing opportunities for Investors Exchange launch, which have been communicated in Trading Alert #2016-010.

  • June 4: 2nd Member Testing Opportunity
  • July 9: 3rd Member Testing Opportunity
  • July 30: 4th Member Testing Opportunity
  • August 13: 5th Member Testing Opportunity

Beginning Monday, August 1 and ending Thursday, August 18, test symbols will be migrated to Investors Exchange. Executions and busts on test symbols during this time will populate NoContraBrokers (382) and ContraBroker (375).

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.