IEX logo

ATS Subscriber Termination on Friday, August 19 and 5th Member Testing Opportunity Saturday, August 13

IEX Trading Alert #2016 - 037

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

What you need to know:

  • IEX will transition the IEX ATS to Investors Exchange (the "Exchange") beginning August 19, 2016.
    • ATS Subscribers interested in participating in the initial launch of the Investors Exchange are required to be an approved Exchange Member before August 19.
    • ATS Subscribers must submit a completed Waive-in Member Application to Market Operations and be approved by IEX Regulation to become an Exchange Member.
    • ATS Subscribers who have not become an approved Exchange Member will have their access to the IEX ATS terminated prior to the start of trading on August 19.
  • There is one (1) remaining Saturday testing opportunity prior to Exchange Launch occurring on Saturday, August 13.
  • During the Saturday test, participants should expect the following Exchange behavior for all symbols:
    • The Investors Exchange FIX Specification will be enforced.
    • Matching logic will enforce the Exchange Rule Book.
    • "Exchange-only" TOPS (v1.5) will be available for all symbols (in addition to current TOPS v1.4 for all symbols).
    • IEX quotation and trade information will be published on the SIPs.
    • OATS will attempt to match Route and Combined Order/Route Reports submitted to OATS CT against the Exchange Order Data.
      • OATS Route and Combined Order/Route Reports for the IEX Router will also be produced and submitted to OATS CT.
    • Clearing files from Saturday's trade data will be available directly from NSCC on Monday, August 15.

  • Those who are not ATS Subscribers who wish to test on Saturday must submit all required Connectivity Agreements and Forms to IEX Market Operations, and such forms must be approved by IEX by Monday, August 8.

    • Additionally, new Members and Service Bureaus must complete a successful certification in IEX's Certification environment prior to participating in a Saturday test.

    • Application and agreements for broker membership, service bureau access, or sponsored access must be submitted to IEX by Monday, August 8 to be eligible for participation.

When should ATS Subscribers submit a Waive-in Member Application in order to trade on Investors Exchange on the August 19th Launch Date?

Now! Firms seeking to participate in the initial launch of Investors Exchange on August 19, 2016 should submit a complete Waive-in Member Application ASAP; prospective Members who submit applications after July 25th may experience an interruption in market access if an approval is not rendered before August 19, 2016 as IEX will terminate access of any firm that is not an approved IEX Member on August 19.

What is the timing, scope, and connectivity details for the Saturday test?

Timing

The IEX Production system will be available from 8:00 a.m. to 1:00 p.m. ET on Saturday, August 13 for testing functionality of Investors Exchange.

  • 8:00 a.m. - 9:30 a.m. ET: Pre-Market Session
  • 9:30 a.m. - 12:00 p.m. ET: Regular Market Session
  • 12:00 p.m. - 1:00 p.m. ET: Post-Market Session

Connectivity

The IEX Production system will be available through Subscribers' and Members' existing sessions, IPs, and ports. No changes to physical or logical connectivity will be made for the Saturday test.

Scope

During the test, all securities will transition to the Exchange. No securities will remain on the IEX ATS during the test.

All functionality will be available on all securities, e.g. matching, routing, quoting. TOPS v1.4 will publish quotations on all symbols. TOPS v1.5 will publish quotations and trades on only the symbols that have transitioned to the Exchange for the Saturday test.

Assistance

For any questions or issues during Saturday's test, please contact IEX Market Operations at 646.343.2300 or MarketOps@iextrading.com.

How does the Investors Exchange FIX Specification differ from the ATS FIX Specification?

Identifying Exchange Executions

IEX will populate two (2) new FIX tags on Execution Report and Trade Bust messages for executions from away venues and on the IEX Order Book, in accordance with the Investors Exchange FIX Specification.

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

What changes should participants expect in the Matching Engine?

Unlike displayed orders for securities on the ATS, displayed orders for securities that have migrated to the Exchange on Saturday will be subject to the "price sliding process" pursuant to IEX Rule 11.190(h). Displayed orders for securities that have migrated to the Exchange will no longer be subject to the Midpoint Price Constraint, which will now only apply to non-displayed orders on the Exchange.

An order eligible for display by the Exchange that, at the time of entry, would create a violation of Rule 610(d) of Regulation NMS by locking or crossing a Protected Quotation of an external market will be ranked and displayed by the System at one (1) MPV below the current NBO (for bids) or one (1) MPV above the current NBB (for offers) ("display-price sliding"). An order subject to display-price sliding will retain its limit price irrespective of the price at which such order is ranked and displayed. In the event the NBBO changes such that an order subject to display-price sliding would no longer lock or cross the Protected Quotation of an external market, the order will receive a new timestamp, and will be displayed at the most aggressive permissible price. Such orders may be re-priced once, or more than once, depending on changing market conditions and the order's limit price.

In the event that the market becomes locked, the System will observe the following practices for displayed orders:

  • Resting orders that are displayed at the price of the locking quotation ("locking price") as defined in IEX Rule 11.310, and were originally displayed in compliance with rules and regulations of the Exchange and the Exchange Act of 1934 will maintain their displayed price and quantity.
  • Displayable orders posting to the Order Book on the same side as an order which is locked and was originally displayed, as per the above statement, are not permitted to join the locking price. Such orders will be displayed and ranked by the System pursuant to the Exchange's display-price sliding practices described above.

In the event that the market becomes crossed, the System will observe the following practices for displayed orders:

  • Resting orders that are displayed at a price which has become crossed and were originally displayed in compliance with rules and regulations of the Exchange and the Act will maintain their displayed price and quantity.
  • Displayable buy (sell) orders being posted to the Order Book during a crossed market will be displayed and ranked by the System one (1) MPV below (above) the lowest Protected Offer (highest Protected Bid).

How will IEX display orders for securities on the Exchange?

Existing TOPS feed (TOPS v1.4)

There will be no change to the existing TOPS feed (TOPS v1.4) during the Saturday test; TOPS v1.4 will continue to publish the aggregated best quoted bid and offer for all securities (TOPS v1.4 does not and will not distinguish between IEX ATS and Exchange securities).

Exchange-only TOPS feed (TOPS v1.5)

The "Exchange-only" TOPS feed (TOPS v1.5) will publish the aggregated best quoted bid and offer (i.e., top of book) exclusively for all securities that have transitioned to the Exchange during the Saturday test.

Note that TOPS v1.5 will be published on different multicast addresses than TOPS v1.4, so Data Recipients must submit the necessary Exchange Data Agreements and Forms prior to being configured.

How will IEX be identified on the SIP?

IEX will be identified in CTA (CQS/CTS feeds) and UTP (UQDF/UTDF) with a Market Center Originator ID of "V". See the CTA or UTP websites for technical specifications, the latest are linked below:

How can participants test OATS?

FINRA has assigned the Exchange a Destination Code of "XV".

After the test on Saturday, OATS will attempt to match Route and Combined Order/Route Reports submitted to OATS CT against the Exchange Order Data. Additionally, IEX will produce and submit OATS Route and Combined Order/Route Reports to OATS CT for the IEX Router. IEX recommends that participants also produce and submit OATS Route and Combined Order/Route Reports to FINRA.

How can participants test clearing and settlement?

Trades matched on IEX will be disseminated to the National Securities Clearing Corporation ("NSCC"), which will process clearing and settlement.

  • All clearing records sent to the NSCC by IEX will be submitted to NSCC PSE environment on Monday, August 15 using the Universal Trade Capture ("UTC") format.
  • Clearing files will be made available by the NSCC by end of day Monday.
  • Members and their clearing agent systems should be prepared to handle clearing for IEX in UTC format.
  • Client output will carry the Exchange's UTC Market Code of "170".
  • For more information regarding the UTC format, please refer to https://www.dtcclearning.com/learning/clearance/topics/universal-trade-capture.html.

Who is eligible to participate in the remaining scheduled Saturday test?

Members, Service Bureaus, Sponsored Participants, and Extranet Providers

Those who are not current IEX ATS Subscribrs who wish to access the IEX system for order entry and execution must submit all required Connectivity Agreements and Forms, and such forms must be approved by IEX on Monday, August 8 to be eligible for participation. Additionally, new Members and Service Bureaus must complete a successful certification in IEX's Certification environment prior to participating in a Saturday test. The first page of the document provides a checklist of the agreements and forms required from each type of participant.

Additionally, application and agreements for broker membership, service bureau access, or sponsored access must be submitted to IEX by the Monday prior to a Saturday test to be eligible for participation (IEX approval prior to testing is not required for these documents). The checklist on the first page of each document below outlines the required application, agreement, and forms for each participant:

Current ATS Subscribers and technology partners are eligible to participate in a Saturday test without submitting applications or agreements, but will not be eligible to submit orders on the Exchange on the Launch Date without first being an approved Member or participant.

Data Recipients

Those who wish to access IEX's system for the receipt of IEX's data products (e.g., TOPS) must submit all required Data Agreements and Forms and such forms must be approved by IEX on Monday, August 8 to be eligible for participation. The first page of the document provides a checklist of the agreements and forms required.

Current Data Recipients of the ATS will continue to receive TOPS via their existing connections.

Newly Connecting Participants

Those who require new physical connections to IEX, please plan accordingly to ensure the physical connectivity is ordered at least two (2) weeks in advance of your target connectivity date.

When can a participant test Exchange functionality, including consuming IEX trades and quotes from the SIP?

IEX will offer the following Saturday testing opportunities in advance of the Exchange launch:

  • March 5: 1st Member Testing Opportunity (COMPLETE)
  • June 4: 2nd Member Testing Opportunity (COMPLETE)
  • July 9: 3rd Member Testing Opportunity (COMPLETE)
  • July 30: 4th Member Testing Opportunity (COMPLETE)
  • August 13: 5th Member Testing Opportunity

During each Saturday test, the IEX Production system will available from 8:00 a.m. to 1:00 p.m. ET for testing functionality of the Exchange.

Test data is available nightly directly from the SIPs.

  • CTA: Test data is disseminated from CQS/CTS on business weekdays from 9:00 - 9:15 p.m. ET from the multicast Playback Test channels (not over Production channels).
  • UTP: A test file is recorded to be replayed in the evenings from 9:00 p.m. to 10:30 p.m. ET to all UTP data feed subscribers. Evening test data is provided over the production IP services during the designated times. No registration is required to participate in evening testing.

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.