Update to the Quote Stability Calculation Used By Discretionary Peg Orders

IEX Trading Alert #2017 - 006

Overview

IEX is updating the quote stability calculation used by Discretionary Peg orders. The update is designed to improve IEX's ability to identify a crumbling quote (i.e., an unstable quote). Deployment will begin on Friday, March 24 and complete Tuesday, March 28.

The process to send Discretionary Peg orders has not changed; no configuration changes are required for Members to utilize the updated calculation.

The new calculation was filed and approved as a change to IEX Rule 11.190(g).

Quote Stability Calculation

IEX is simplifying the quote stability calculation by eliminating three preconditions that pertained to the stability and ratio of bids to offers in the Protected NBBO. Instead, the determination will be based solely on whether the quote stability calculation result is greater than the defined quote instability threshold, which will vary based on the size of the spread of the Protected NBBO.

Other changes made to the quote stability calculation:

  • IEX simplified the number of exchanges utilized for the quote stability calculation.
  • IEX revised the quote stability variables by adding seven (7) new variables that study how the Protected NBBO is changing, and retiring four (4) existing variables.
  • IEX added three (3) quote stability coefficients, C7, C8, and C9, and updated the existing coefficient values C0 - C7.

For more details please see IEX Rule 11.190(g).

More Information

To learn more about Discretionary Peg (patent-pending), please visit iextrading.com/trading/dpeg.

Please contact IEX Market Operations or Sales with any questions:

About IEX

IEX is on a mission to build fairer markets. Founded in 2012 and headquartered in New York City, IEX introduced its first trading venue in 2013 and launched as a U.S. stock exchange in 2016. IEX is the stock exchange that believes that every investor has the right to trade on equal and fair terms, on every trade. Learn more at: iextrading.com.