Discretionary Peg™

(��-�ʱ�®)

Rests outside the NBBO and is willing to step to the midpoint–except when the Signal is on.

Dark
More aggressive than P-Peg

About

Discretionary Peg (D-Peg) is a non-displayed order type that is priced at the less aggressive of one (1) Minimum Price Variant (MPV, $0.01 for most stocks) lower (higher) than the NBB (NBO) for buy (sell) orders or the order’s limit price.

D-Peg orders passively rest on the IEX Exchange order book while seeking to access liquidity at a more aggressive price up to the midpoint of the National Best Bid or Offer (NBBO), except when the Signal determines that the quote is unstable or “crumbling.”

Discretionary Peg™

Functionality

D-Peg combines elements of Midpoint Peg and Primary Peg, as well as other traditional discretionary order types. When the Signal makes a determination that a quote is unstable, D-Peg orders stop seeking liquidity at a more aggressive price until the quote returns to a stable state.

Example Scenario

Quote is Stable. The Signal is “Off.”

The NBBO is $10.10 x $10.14. D-Peg buy order with a $10.13 limit is entered and booked at $10.09, one MPV below the NBB. The quote is stable.

Example 1: ISO Sell order with $10.09 limit crosses the spread and executes with D-Peg order at $10.09
Example 2: Sell order with $10.10 limit crosses the spread and D-Peg order uses $0.01 of discretion to trade at $10.10
Example 3: Sell order with $10.11 limit expresses its full limit and D-Peg order uses $0.02 of discretion to trade at $10.11
Example 4: D-Peg order uses $0.03 of discretion to trade with a Midpoint Peg sell order at $10.12
Example 5: D-Peg orders cannot execute at prices more aggressive than the midpoint; no trade occurs

One

Quote is Crumbling. The Signal is “On.”

The NBBO is $10.10 x $10.14. D-Peg buy order with a $10.13 limit is entered and booked at $10.09, one MPV below the NBB. The quote is unstable.

Example 1: ISO Sell order with $10.09 limit crosses the spread and executes with D-Peg order at $10.09
Example 2: Sell order with $10.10 limit crosses the spread, but D-Peg order does not use discretion; no trade occurs
Example 3: Sell order with $10.11 limit expresses its full limit, but D-Peg order does not use discretion; no trade occurs
Example 4: Midpoint sell order enters, but D-Peg order does not use discretion; no trade occurs
Example 5: D-Peg orders cannot execute at prices more aggressive than the midpoint; no trade occurs

Two

Example Scenario

Discretionary Peg™

Workflow

Blog

Contact Us

Questions about trading on IEX Exchange?
Reach out here or talk to your IEX contact.

Thank you! Your submission has been received!

Oops! Something went wrong while submitting the form.

Parent-Order Performance That Meets the Mark

D-Limit is designed to deliver better-performing child orders, which in turn can roll up into better parent-order performance. Powered by IEX Exchange's Signal, D-limit works to minimize adverse selection and deliver genuine spread capture, so you’re buying a stable bid—not a bid that ends up becoming the offer. D-limit is also designed to obtain pre-trade price improvement and is the only displayed exchange order type that enables users to achieve prices better than their initial resting price.

Get More Info

FIX Details

3.5 Trillion

Notional value traded on IEX Exchange using D-Limit since its inception

75%

Proportion of IEX Exchange's lit trading volume using D-Limit

19%

Of Institutional brokers' D-Limit volume sees 2¢/share average Price Improvement*

75%

Price stability with D-limit vs 28% price stability on other exchanges**

Example Scenario

Quote is Stable. The Signal is "Off."

The NBBO is $10.10 x $10.14. D-Limit buy order is booked at $10.10. The quote is stable.

ISO Sell order with a $10.09 limit crosses the spread; trade occurs at the resting price of $10.10.

Quote is Crumbling. The Signal is "On."

The NBBO is $10.10 x $10.14. A D-Limit buy order with a limit of $10.10 is repriced to $10.09, 1 MPV below the unstable price ($10.10). The quote is unstable.

ISO Sell order with a $10.09 limit crosses the spread; trade occurs at the resting price of $10.09.

Example Scenario

��-��®

Discretionary Limit™

D-Limit works like a standard limit order but is the only exchange order type of its kind designed to protect orders from adverse selection.

Designed to improve displayed trading for market participants
Available for lit or dark trading

When IEX Exchange's unique Signal anticipates a price shift, D-Limit orders are automatically repriced to one Minimum Price Variation (MPV) outside the predicted unstable price level. This dynamic repricing mechanism is designed to protect against unfavorable price movements.

Real Results

D-Limit's impact.

New Functionality Improves D-Limit Hit Rates

D-Limit’s Cancel/Reprice functionality increased hit rates from 27% to 35%.

Significant Savings

19% of Institutional brokers' D-Limit volume experiences an average price improvement of 2¢/share.

Enhanced Stability with Signal V6

D-Limit is powered by the new Signal V6, designed to predict more price changes while maintaining the same accuracy.

D-Limit in Action

Explore the mechanics of D-Limit through a detailed workflow diagram, illustrating the journey of an order from placement to execution. Then, see real-world scenarios that demonstrate D-Limit's dynamic response in varying market conditions.

��-��®

Workflow

This diagram details a base case messaging flow for a client sending a D-Limit order to IEX Exchange, the Signal (i.e., Crumbling Quote Indicator or CQI) triggering, repricing of the order, and finally a client cancellation of the order.

Cancel/Reprice Functionality

D-Limit now offers a Cancel/Reprice functionality, addressing Members' needs for better order management without consuming the restatement message. Members who opt-in to this functionality can configure D-Limit orders for automatic action 10 milliseconds post-Signal fire, enhancing price discovery and liquidity on IEX Exchange.

Resources

More information on D-limit.

Pricing

Starting September 2023, displayed adding volume on IEX Exchange earns a 4 mil rebate, with $0.0010/share charged for removing liquidity.

Signal V6

D-Limit is powered by the new Signal V6, designed to predict more price changes while maintaining the same accuracy.

Restatement Messages

When D-Limit orders are restated, users receive a restatement message, containing the price to which D-Limit orders were moved.

Insights

The Latest on D-Limit

* "Institutional Brokers” defined as Full-Service and Agency broker-dealers, based on IEX classifications on a best-efforts basis by Member firms’ trading sessions.
** Stable volume is defined as volume after which there was not an NBBO change in the 2ms following a trade. Stability comparisons made on volume taking place at the NBBO.

91��ɫ