LULD Plan Amendment 12 Industry Test #1 on Saturday, October 28

IEX Trading Alert #2017 - 044

Overview

On Saturday, October 28, the IEX Production environment will be available from 8:00 a.m. to 1:00 p.m. ET for the first of two industry-wide LULD Plan Amendment 12 tests. The second and final test will be conducted on Saturday, November 18, before the activation of such functionality on Monday, November 20.

IEX will conduct reopening procedures after an LULD Trading Pause using the Volatility Auction, which has been designed to meet the reopening requirements of LULD Plan Amendment 12. If an LULD trading pause exists at or after the Closing Auction Lock-in Time (i.e., 3:50 p.m.) and before the Closing Auction, the Volatility Auction will be conducted at 4:00 p.m. with On-Close orders and produce the IEX Official Closing Price. Lastly, if a primary listing exchange is impaired and cannot resume trading after an LULD Trading Pause, the SIP will issue the resumption on behalf of the primary listing exchange.

The focus of the test:

  • Trading Status messages indicating an LULD Trading Pause ('M') on the CTS Binary output feed have the Upper (Lower) Limit Price Band value populated with the Upper (Lower) LULD Price Band Price that triggered the preceding Limit State that led to the LULD Trading Pause
  • Volatility Auctions to reopen trading after a LULD Trading Pause with various extensions for test IEX-listed securities
  • Auction Information message, with Auction Collar and Auction Extension information, on IEX market data feeds, specifically DEEP v1.0 and TOPS v1.6
  • Auction Status message, with Auction Collar and Auction Extension information, on CQS/CTS Binary output feeds
  • Simulate an IEX impairment, which triggers the SIP to issue a trade resumption on behalf of the Exchange
  • Closing with a Volatility Auction for a test IEX-listed security

For additional information see the IEX Auction Specification or LULD Amendment 12.

LULD Plan Amendment 12 Summary

As communicated by the CTA, the Limit Up / Limit Down (LULD) Plan Participants have amended the LULD Plan via LULD Amendment 12 to eliminate the current allowance for a trading center to resume trading in an NMS Stock following an LULD Trading Pause if the primary listing exchange has not reported a Reopening Price within ten minutes after the declaration of an LULD Trading Pause and has not declared a Regulatory Halt. Instead, a Trading Pause will continue until the primary listing exchange has reopened trading using its established reopening procedures and reports a Reopening Price.

In conjunction with amendments to the LULD Plan, the primary listing exchanges that run electronic auctions have amended their automated auction trading rules to provide a harmonized procedure for calculating auction collars during an auction for resuming trading following an LULD Trading Pause, extending the LULD Trading Pause when the primary listing exchange cannot reopen due to an auction price outside of the auction collars, known as an Impermissible Price, and for a concurrent widening of auction collars every five minutes until a reopening can occur within the auction collars. These reopening procedures will be tested on both industry tests dates. As part of the established reopening procedures, a new CQS/CTS Multicast Output 'Auction Status' message is being introduced. The new 'Auction Status' message will be generated by the primary listing exchange and disseminated via the CQS and CTS Multicast feeds as pass-through processing. The new Auction Status messages will identify the Auction Extension and associated upper and lower prices of the Auction Collars. 'Auction Status' message field descriptions are provided in the CQS/CTS Binary Specifications.

The Plan amendment also provides that, if the primary listing exchange is unable to reopen due to a systems or technology issue or if it reopens trading on a zero bid or zero offer, or both, CQS/CTS will calculate Price Bands based on the LULD Price Band at which trading was paused. In these circumstances, trading can resume only after LULD Price Bands are disseminated by CQS/CTS.

Finally, to preclude potential scenarios when trading could resume without Price Bands, the Participants have amended the Plan to provide that a trading center may not resume trading in an NMS Stock following a Trading Pause without Price Bands in such NMS Stock.

Test Schedule

The IEX Production environment will be available on Saturday, October 28 during the following sessions (all times are ET):

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

IEX will conduct the following auctions for test IEX-listed symbols (i.e., ZIEXT, ZEXIT, ZXIET):

  • Halt Auction for ZXIET during the Pre-Market Session
  • Opening Auction at 9:30 a.m. for ZXIET and ZIEXT
    • ZEXIT will be halted through the open
  • Volatility Auctions for ZXIET
  • Halt Auction for ZIEXT
  • IEX will trigger an LULD Trading Pause for ZEXIT, and subsequently simulate a systems or technology issue
    • The CTA SIP will issue the resumption in accordance with the reopening procedures (i.e., the SIP will calculate and disseminate Price Bands by applying triple the Percentage Parameters for the first 30 seconds such Price Bands are disseminated)
  • Closing Auction at 12:00 p.m.
    • IEX will trigger a LULD pause just prior to the Lock-in Time for ZEXIT, which will trigger a Volatility Auction that establishes the IEX Official Closing Price
    • IEX will trigger a LULD pause after the Lock-in Time for ZXIET, which will trigger a Volatility Auction that establishes the IEX Official Closing Price

Additional Testing Opportunities

Saturday Industry Tests

The industry plans to offer the following additional Saturday testing opportunity in advance of the LULD Plan Amendment 12 activation:

  • Saturday, November 18

Intraday in the IEX Test Facility ("ITF")

Members may also test Volatility Auction functionality, order types, and messages on IEX data feeds (via an ITF cross-connect) in the IEX Test Facility ("ITF"). The ITF is available Monday through Friday from 7:00 a.m. to 9:00 p.m. ET. Please see IEX Trading Alert #2017 - 010 or the IEX Connectivity Manual for additional information about accessing the ITF via a dedicated cross-connect.

Intraday in the IEX Production Environment

On Friday, September 15, IEX began supporting the auction process and listings functionality for test IEX-listed securities in the Production environment. Auction Information messages for test IEX-listed securities are also being disseminated over production IEX market data feeds at this time.

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.