The IEX Exchange has formally launched a new optional functionality for its D-Limit order type, designed to maintain D-Limit’s order protection, while continuing to improve fill rates.
A completely optional Cancel/Reprice functionality is now available to IEX Exchange members.
Using this option, D-Limit orders can now be configured to take one of two actions 10 milliseconds after the Signal fires, and only if the D-Limit order is not resting at the NBBO at the time:
- Option 1: Cancel back to the Member
- Option 2: Reprice back to the NBBO (if within order’s limit, otherwise to the order’s limit price)
- If an order is placed back on the NBBO, it will receive a new timestamp
The 10-millisecond time frame before taking the new Cancel/Reprice action is key, as the extended timeframe ensures that usage of this optional functionality will not give its users any advantage over those who process the restatement messages and then cancel or re-price their orders themselves (as they would likely do so more quickly).
“We believe that providing this alternative to the restatement message will enhance opportunities for price discovery and increase the overall displayed (and non-displayed) liquidity profile on IEX Exchange to the benefit of all market participants,” said IEX.
This is also an example of how Members can better customize their trading experience on IEX Exchange to best serve their individualized strategies.
D-Limit already delivers outperformance on two levels: with better markouts and with better price improvement. At its core, D-Limit is designed to avoid adverse selection – hence the better markouts. And approximately 19% of all institutional brokers’ D-Limit volumes get Price Improvement vs. their original limit price, with a meaningful average price improvement at 2 cents a share. Across all D-Limit volumes, institutional brokers’ average price improvement equates to just about 46 mils per share – almost half a penny. It adds up!
D-Limit leverages the innovative protections of IEX Exchange’s Speed Bump and Signal to improve price discovery and uniquely solve for the liquidity challenges in today’s lit markets. Please reach out to your IEX Business Development rep with any questions about D-Limit, the restatement message, or how you can opt in to automatically cancel or reprice your D-Limit orders ongoing.
Source: IEX
