Enhanced Cancel On Disconnect Options with Support for IEX Auctions

IEX Trading Alert #2018 - 012

Overview

In preparation for the launch of IEX Listings, IEX is clarifying the behavior of Cancel on Disconnect and enhancing the functionality to support orders queued for an upcoming IEX Auction (i.e., resting on the Auction Book). Note that IEX will only conduct auctions for IEX-listed securities.

IEX now offers Users three (3) options for canceling orders as a result of a session disconnect:

  1. All: Cancel all open orders (Continuous Book, On-Open, and On-Close)
  2. All, excluding On-Open/On-Close: Cancel all open orders, excluding On-Open and On-Close orders
  3. None: Do not cancel any open orders

If a disconnect occurs between the Lock-in Time and the auction match, orders that are locked-in for the auction will not be canceled. For the Opening Auction, any unfilled portion of DAY and GTX limit orders will be canceled at the conclusion of the auction match in a manner similar to Limit-On-Open ("LOO") orders.

The legacy Equities Port Request Form only provided two options for Cancel on Disconnect: "Yes" or "No." Ports with Cancel on Disconnect set to "Yes" have been set to the "All" setting. Ports with Cancel on Disconnect set to "No" have been set to the "None" setting. To change the Cancel on Disconnect setting for any order entry sessions, please contact IEX Market Operations or submit an updated Equities Port Request Form (pages 8-9 of the Connectivity Agreements and Forms packet).

Impact of Users' Cancel On Disconnect Setting During a Disruption

If a system disruption occurs that severs communications between the IEX Trading System and a User, the Cancel on Disconnect feature may be triggered. In such situations, the IEX Trading System will act in accordance with the User's Cancel on Disconnect port setting.

For example, if a User's ports are configured to "All, excluding On-Open/On-Close" and a disruption occurs at 3:40 p.m. ET that triggers such User to disconnect, the User's orders on the Continuous Book will be canceled, but the User's Market-On-Close ("MOC") and Limit-On-Close ("LOC") orders queued for the Closing Auction will remain open on the Closing Auction Book. When IEX conducts the Closing Auction at 4:00 p.m. ET, the Exchange will include such orders when determining the IEX Official Closing Price and potentially execute such orders, to the extent contra-side interest exists on the Closing Auction Book.

Cancel On Disconnect Backup

The Exchange provides a best effort attempt to cancel all open orders from a User upon a communications disconnect, where a Cancel on Disconnect option has been enabled. A loss of connectivity signal must travel through the IEX POP before IEX becomes aware of the loss of connectivity. There is no guarantee that the automatic cancel feature provided by the Exchange will be error free or will operate without interruption. Members may call IEX Market Operations at 646.343.2300 to verbally request that all open orders be canceled or check the status of open orders.

Testing Opportunities

Members may test the Cancel on Disconnect feature 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.

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.