New FIX Tag Values and Launch of the Crumbling Quote Remove Fee
IEX Trading Alert #2017 - 043
Overview
Beginning Wednesday, November 22, 2017, IEX will populate TradeLiquidityIndicator (FIX tag 9730) with a new value identifying to the taker when liquidity was removed while the IEX Crumbling Quote Indicator ("CQI" or the "IEX Signal") is on. When the CQI is on, the Exchange treats the quote as "unstable" as described in IEX Rule 11.190(g). This new liquidity code will be disseminated across all securities for the entire month of December to provide visibility into executions that would qualify for the Crumbling Quote Remove Fee. The Crumbling Quote Remove Fee will be effective on Monday, January 1, 2018 for the January 2018 invoice. The first trading day during which the fee will apply will be Tuesday, January 2, 2018 (following the New Year's Day holiday).
Deployment Schedule
The deployment schedule for the new FIX tag value and transaction fee is detailed below:
- Wednesday, November 22: Test Symbols (CBO, CBX, ZBZX, ZJZZT, ZTEST, ZVV, ZVZZT, ZWZZT, ZXZZT, ZIEXT, ZEXIT, ZXIET)
- Monday, November 27: Two non-test securities (VG, WIN)
- Tuesday, November 28 : Ten non-test securities (VALE.P, VG, VHC, VIAV, VIP, VLY, WIN, YINN, YTEN, ZIOP)
- Wednesday, November 29: All symbols starting with 'Y' - 'Z', VALE.P, VG, VHC, VIAV, VIP, VLY, WIN
- Thursday, November 30: All symbols starting with 'V' - 'Z'
- Friday, December 1: All symbols ('A' - 'Z')
- Monday, January 1: Crumbling Quote Remove Fee is effective for all symbols ('A' - 'Z')
TradeLiquidityIndicator (FIX Tag 9730)
TradeLiquidityIndicator (FIX tag 9730) is used, in conjunction with LastMkt (FIX tag 30), to determine trading costs and characteristics of the trade. On Wednesday, November 22, 2017, IEX will begin to utilize the new specified value as illustrated in the table below.
| Current Tag 9730 Values | New Tag 9730 Values (Beginning Wednesday, November 22) |
|---|---|
|
Note: FIX tag 9730 values of 'S', 'L', and 'Q' may be applied in conjunction with other values. For example, Users should be prepared to receive a value of 'SLQ' in FIX tag 9730. |
Usage example:
- Continuous Executions on IEX (used in conjunction with FIX tag 851=[1,2,9])
- I is returned identifying a continuous trade on IEX (neither self-matched nor involved displayed liquidity, since both 'S' and 'L' are absent)
- S is returned identifying a self-matched continuous trade on IEX (an 'I' is assumed in this case)
- L is returned identifying a continuous trade that involved displayed liquidity on IEX (an 'I' is assumed in this case)
- LQ is returned identifying a continuous trade that involved displayed liquidity on IEX when the CQI was on (an 'I' is assumed in this case)
- SL is returned identifying a self-matched continuous trade that involved displayed liquidity on IEX (an 'I' is assumed in this case)
- SLQ is returned identifying a self-matched continuous trade that involved displayed liquidity on IEX when the CQI was on (an 'I' is assumed in this case)
For further information, please see the IEX FIX Specification.
Crumbling Quote Remove Fee
Beginning Monday, January 1, 2018 for the January 2018 invoice, IEX will begin charging a fee for orders that remove resting liquidity when the CQI is on, if such orders constitute at least 5% of the Member's volume executed on IEX and is at least 1,000,000 shares, on a monthly basis, measured on a per market participant identifier ("MPID") basis. Orders that exceed the 5% and 1,000,000 share thresholds will be charged a fee of $0.0030 per each incremental share executed (or 0.3% of the total dollar value of the transaction for securities priced below $1.00) that exceeds the threshold.
For example, assume Member XYZ executed 100,000,000 shares through its MPID 1234 during a particular month, and 6,000,000 of such shares removed liquidity while the CQI was on. The 6,000,000 shares executed when the CQI was on exceed the threshold since such shares are more than 5% of MPID 1234's monthly volume (i.e., 5,000,000) and at least 1,000,000 shares. Member XYZ would therefore be charged the fee on 1,000,000 shares which is the incremental number of shares above 5% of the 100,000,000 shares executed by MPID 1234 during the month.
IEX Sales and Market Operations will provide Members their volume removed during a crumbling quote from the previous month upon request.
For further information on CQI functionality and Crumbling Quote Remove Fee, please see IEX Rule 11.190(g) and SR-IEX-2017-27, respectively.
More Information
Please contact IEX Market Operations or Sales with any questions:
- Market Operations: 646.343.2300 or marketops@iextrading.com
- Sales: 646.343.2100 or sales@iextrading.com
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.