Update to IEX Primary Peg Order Type and Locked/Crossed Behavior for Primary and Discretionary Pegs

IEX Trading Alert #2017 - 007

Overview

IEX is updating its Primary Peg order type in an effort to further protect orders when trading at the inside quote. Upon deployment, Primary Peg orders on IEX will be pegged 1 minimum price variant (MPV) outside the primary quote (below the NBB for buys; above the NBO for sells) and "step up" to trade at the primary quote except during periods of quote instability, as determined by IEX's quote stability calculation – the same calculation currently used by Discretionary Peg (D-Peg) orders. When exercising discretion to trade at the NBBO, Primary Peg orders will rank behind displayed and non-displayed orders at that price.

Additionally, IEX is updating the behavior of both Primary Peg and D-Peg orders in locked and crossed markets. In a locked market, Primary Peg and D-Peg orders will book and rest 1 MPV less aggressive than the locking price. In a crossed market, Primary Peg and D-Peg orders will book and rest 1 MPV less aggressive than the crossing price, the lowest Protected Offer for buy orders and the highest Protected Bid for sell orders.

Deployment will begin Monday, March 27, 2017 and conclude on Monday, April 3, 2017. The new functionality was filed as a change to IEX Rules 11.190(a)(3), 11.190(b)(8), and 11.190(h)(3)(C)(ii) and (D)(ii).

Deployment Schedule

The deployment schedule for the above changes is detailed below:

  • Monday, March 27: Test Symbols (CBO, CBX, ZBZX, ZJZZT, ZTEST, ZVV, ZVZZT, ZWZZT, ZXZZT)
  • Tuesday, March 28: Two non-test securities (VG, WIN)
  • Wednesday, March 29: Ten non-test securities (VALE.P, VG, VHC, VIAV, VIP, VLY, WIN, YINN, YTEN, ZIOP)
  • Thursday, March 30: All symbols starting with 'Y' - 'Z', VALE.P, VG, VHC, VIAV, VIP, VLY, WIN
  • Friday, March 31: All symbols starting with 'V' - 'Z'
  • Monday, April 3: All symbols ('A' - 'Z')

Additional Detail

  • IEX developed the new Primary Peg based on positive feedback and adoption of D-Peg among Members. Specifically, IEX was receiving positive client feedback and seeing excellent results based on D-Peg's ability to protect investors from trading when a quote is transitioning in a predictable fashion.
  • IEX recently announced an update to the quote stability calculation that is currently used by D-Peg; this same calculation will be used for Primary Peg. That update will begin on Friday, March 24 and complete on Tuesday, March 28.
  • IEX still only offers 5 orders types: Limit, Market, and 3 types of pegged orders (Primary, Discretionary, and Midpoint).
  • Primary Peg remains a fully non-displayed order type.
  • Please see here for a visual overview of the upgraded Primary Peg order.

More Information

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.