Please refer to IEX Trading Alert 2018 - 023 for important information regarding upcoming functionality changes to the IEX Router.
Learn about the routing options available on IEX and how they interact with both the IEX Order Book and away venues. IEX publishes first wave fill rate statistics each month on the Stats page.
Use the IEX Router to Capture Liquidity with Confidence.
The IEX routing options are designed to interact with liquidity resting on IEX and sweep all markets displaying protected quotations. Once posted to the IEX Order Book, routable orders re-sweep to capture protected quotations that lock or cross the order’s limit. IEX’s unique POP architecture and low latency network protects routing orders from information leakage while maximizing fill rates. The two routing options are Router and Router Basic.
Router is a routing option under which an order is sent to the IEX Order Book to check for available shares in a way designed to minimize market impact (see below for additional detail), and then any remainder is sent to destinations on the System routing table, which may include the IEX Order Book. If shares remain unexecuted after routing, they are posted on the Order Book or canceled, in accordance with User instruction. Once posted on the Order Book, the unexecuted portion of such order is eligible for the re-sweep behavior (“Router: IEX Check, then Sweep the Street”).
Router Basic is a routing option under which an order is sent to destinations on the System routing table, including the IEX Order Book. If shares remain unexecuted after routing, they are posted on the IEX Order Book or canceled, in accordance with User instruction. Once posted on the Order Book, the unexecuted portion of such an order is eligible for the re-sweep behavior (“Router Basic: Sweep the Street”).
IEX Check with Minimal Market Impact
The IEX Router “checks” IEX when using the Router routing option by routing the entire order with either an FOK (“Fill-or-Kill”) or IOC (“Immediate-or-Cancel”) time-in-force to the IEX Order Book. Depending on the size of the order and the cumulative shares from protected quotations at the NBBO (“PBBO”), the IEX Router will choose one of the techniques below to minimize market impact (i.e., liquidity fade) from any fills received on the IEX Order Book.
If the routable order size is substantially smaller than the cumulative shares at the PBBO, the IEX Router checks the IEX Order Book to the PBBO with a standard IOC (no minimum quantity condition) because the risk of missing shares due to liquidity fade is low.
E.g., 1000 share routable buy order
with 5000 share PBO = IOC
All Other Orders
Otherwise, the IEX Router checks the IEX Order Book to the PBBO using an FOK order (i.e., minimum quantity equal to order size), meaning the order must be completely filled or no execution occurs, so as to not create a signal unless the order is fully executed on IEX.
E.g., 1000 share routable sell order
with 1000 share PBB = FOK
Rest Easy, then Re-sweep Available Liquidity
If the limit price of a resting routable order is crossed or locked by one or more protected quotations, the IEX Router removes all or a portion of the order from the IEX Order Book, respectively, and routes to the protected quotation(s).
Route with Confidence
Through IEX’s low latency, deterministic network to all protected markets, coupled with our patent pending system architecture, IEX has minimized the opportunity for quotes to fade while routing orders.
IEX passes full execution information about every routed trade to users, including Last Market and Liquidity Indicators. IEX encourages users to review IEX’s routing options; in-depth fill rate analysis reports can be supplied on request.Download IEX Router as PDF
Trading through the IEX Router exposes you to risks associated with system or component failure. In the event of system or component failure, it is possible that, for a certain time period, you may not be able to enter new orders, execute existing orders, or modify or cancel orders that were previously entered.
The IEX Router performance is subject to changes in, for example, market conditions and the technical performance of IEX's systems including hardware, software, and network. IEX publishes first wave fill rate statistics each month on the Stats page.