New FIX Tag Values and IEX Fee Schedule Updates Operative May 1, 2018 (Spread-Crossing Eligible Remove Fee)
IEX Trading Alert #2018 - 016
Overview
On Tuesday, May 1, 2018 (pending SEC filing and effectiveness), executions that result from removing liquidity with an order executable at the far side of the NBBO ("spread-crossing eligible orders") will be assessed the new Spread-Crossing Eligible Remove Fee. The Spread-Crossing Eligible Remove Fee is 3 mils per share (or 0.30% of the total dollar value of the transaction for executions below $1.00). This fee will be applied regardless of whether the order executes at the far side of the NBBO or with non-displayed liquidity inside the spread.
Spread-crossing eligible orders, specifically a buy (sell) order which may remove liquidity at a price equal to or greater (lower) than the NBO (NBB) after accounting for the order's limit (if any), peg instruction (if any), market conditions, and all applicable rules and regulations, will receive a TradeLiquidityIndicator (FIX tag 9730) value of "N" on executions when removing liquidity on IEX. In preparation for the fee change, IEX will begin to populate TradeLiquidityIndicator with "N" beginning on Tuesday, April 24. "N" may be alone or applied in conjunction with the other values IEX currently provides. To the extent a Member receives multiple values on an execution, the lower fee shall apply, except on executions with "Q" that exceed Crumbling Quote Remove Fee Threshold.
Transaction Fees Update
Transaction fees will be updated to add the Spread-Crossing Eligible Remove Fee and update the Fee Code that will be used for IPO Auctions. New/updated text is highlighted, while text that has been removed is in red with strike-through.
| Fee Code | Description | Fee | Fee < $1.00 |
|---|---|---|---|
| N | Spread-Crossing Eligible Remove Fee | $0.0003 | 0.30% of TDVT |
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| Auction Match Fee | $0.0003 | 0.30% of TDVT | |
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Deployment Schedule
The deployment schedule for the updated FIX tag value is detailed below:
- Tuesday, April 24: Test Symbols (CBO, CBX, ZBZX, ZJZZT, ZTEST, ZVV, ZVZZT, ZWZZT, ZXZZT)
- Wednesday, April 25: Two non-test securities (VG, WIN)
- Thursday, April 26 : Ten non-test securities (VALE.P, VG, VHC, VIAV, VIP, VLY, WIN, YINN, YTEN, ZIOP)
- Friday, April 27: All symbols starting with 'Y' - 'Z', VALE.P, VG, VHC, VIAV, VIP, VLY, WIN (note, this range includes ZIEXT, ZEXIT, ZXIET)
- Monday, April 30: All symbols starting with 'V' - 'Z'
- Tuesday, May 1: All symbols ('A' - 'Z')
The Spread-Crossing Eligible Remove Fee will be operative for all symbols ('A' - 'Z') on Tuesday, May 1.
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 Tuesday, April 24, 2018, IEX will begin to utilize the specified value as illustrated in the table below. IEX will announce its first IPO Auction at a future date.
| Current Tag 9730 Values | New Tag 9730 Values (Beginning Tuesday, April 24) |
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Examples
- A market buy order that fully executes at the Midpoint of the NBBO will receive TradeLiquidityIndicator "N" and be assessed the Spread-crossing Eligible Remove Fee (i.e., 3 mils per share).
- NBBO is $10.10 x $10.15, a reserve buy order with a limit of $10.15 that executes against non-displayed interest at $10.13 and $10.14, as well as displayed and non-displayed interest at $10.15 will receive TradeLiquidityIndicator "N" and be assessed the Spread-crossing Eligible Remove Fee on all executions.
- NBBO is $10.10 x $10.11, a non-displayed limit sell order with a limit of $10.10 and TIF of DAY enters the book and
removes liquidity at $10.105 and $10.10, then posts remaining shares at $10.11; such executions from removing liquidity
will receive TradeLiquidityIndicator "N" and be assessed the Spread-crossing Eligible Remove Fee.
- While resting, the non-displayed sell order adds liquidity at $10.11; such execution from adding liquidity will not receive TradeLiquidityIndicator "N", but rather will receive TradeLiquidityIndicator "I" and be assessed the Non-Displayed Match Fee (i.e., 9 mils per share).
- NBBO is $10.10 x $10.12, a sell short order with a limit of $10.10 and a TIF of DAY that is not marked short exempt is received during a Short Sale Period. Such sell short order is subject to short sale price sliding, and executes at $10.11 before posting remaining shares at $10.11. Such execution will not receive TradeLiquidityIndicator "N", but rather will receive TradeLiquidityIndicator "I" and be assessed the Non-Displayed Match Fee.
- NBBO is $10.10 x $10.12, a Member submits a buy order with a limit of $10.12 and executes against resting liquidity provided by such Member at $10.11. Such execution from removing liquidity will receive TradeLiquidityIndicator "SN" and be assessed the Internalization Fee (i.e., FREE).
- Midpoint and Discretionary Peg orders that remove liquidity when the NBBO is locked will receive TradeLiquidityIndicator "N", because the far side of the NBBO is equal to the Midpoint of the NBBO. Such executions will be assessed the Spread-crossing Eligible Remove Fee.
For further information, please see the IEX FIX Specification.
More Information
Please contact IEX Market Operations or Sales with any questions:
- Market Operations: marketops@iextrading.com
- Sales: 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.