IEX updates quote-instability calculation for certain order types
AI-generated summary for informational purposes only. Not legal advice. See the original source for the authoritative text.
IEX is changing how its trading system detects when a displayed market quote may be about to move. The exchange will add IEX’s own protected quotes to the reference prices used by its crumbling quote indicator, a tool that briefly protects certain IEX order types when the market appears unstable. The change mainly affects IEX members and trading firms using D-Limit, C-Peg, D-Peg, or P-Peg orders. IEX says the update should identify more risky quote changes while keeping accuracy roughly the same, which may reduce adverse executions during fast market moves. The rule is effective immediately, but IEX will announce the launch date at least 10 days before implementation.
AI-generated summary. May contain errors. Refer to official sources for legal decisions.
Key Changes
- Adds IEX protected quotes to the reference prices used by the crumbling quote indicator
- Updates related definitions and two disappearing bid or offer rules to fit the new calculation
- Requires IEX to announce the implementation date at least 10 days before launch
Obligations
What this law requires
IEX must announce the implementation date of the CQI update by Trading Alert at least 10 days before the implementation date.
IEX must implement the proposed CQI rule change within 90 days of the rule change becoming effective.
For purposes of the CQI, IEX must calculate Signal Best Bid and Signal Best Offer using the protected quotations of the defined Input Exchanges, meaning the Signal Exchanges plus IEX.
For purposes of the CQI, IEX must treat an Update as any change in the price or size of an Input Exchange's Protected Bid or Offer.
IEX's system must apply the CQI to all D-Limit and C-Peg orders, and to D-Peg and P-Peg orders unless the user submitted the D-Peg or P-Peg order with an instruction to apply the Quote Imbalance Indicator instead.