Corporate Discretionary Peg™

(C-Peg™)

Rests outside the NBBO, at the last sale, or at the order’s limit price–whichever is least aggressive. From there, it’s willing to step up to the less aggressive of the midpoint or the last sale to trade, except when the Signal is on.

  • Dark
About

Corporate D-Peg (C-Peg) is a non-displayed buy order type designed for corporate buyback orders that is priced at the less aggressive of one (1) Minimum Price Variant (MPV, $0.01 for most stocks) lower than the NBB, the last sale, or the order’s limit price.

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

Corporate Discretionary Peg™

Functionality

C-Peg uses the Signal functionality of D-Peg but is constrained to exercise discretion to the lesser of the last sale price or midpoint price during periods of quote stability and rests at the least aggressive (lowest) of 1 MPV below the NBB, the last sale, or the limit price.

When the Signal makes a  determination that a quote is unstable, C-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.”

C-Peg buy order is booked 1 MPV below the NBB (at $10.09) with $10.13 limit during a period of quote stability. The last sale was at $10.11.

  • Example 1: ISO Sell order with a $10.09 limit crosses the spread; trade occurs at the resting price of $10.09 (lower than last sale of $10.11).
  • Example 2: Sell limit order with a $10.11 limit; trade occurs at the discretionary price of $10.11 (equal to last sale).
  • Example 3: Sell limit order with a $10.12 limit checks midpoint; no trade occurs as C-Peg is constrained by the last sale price of $10.11.
One
Quote is Crumbling. The Signal is “On.”

C-Peg buy order is booked 1 MPV below the NBB (at $10.09) with a $10.13 limit during a crumbling quote. The last sale was at $10.13.

  • Example 1: Sell IOC order with a $10.12 limit checks the midpoint, and C-Peg order recognizes that quote is crumbling and does not execute discretion; no trade occurs.
  • Example 2: D-Peg sell FOK order with a $10.12 limit checks the midpoint, and C-Peg order recognizes that quote is crumbling and does not execute discretion; no trade occurs.
Two
Last Sale Price Constraint

C-Peg buy order is booked at the last sale price, $10.08, during a period of quote stability. The NBB is $10.10.

  • Example 1: ISO sell order with a $10.08 limit crosses the spread; trade occurs at the resting price of $10.08 (equal to last sale).
  • Example 2: Sell limit order with a $10.09 limit first interacts with any liquidity at the NBB on IEX Exchange and then with any resting D-Peg orders; C-Peg will not exercise discretion due to last sale price constraint.
Three

Example Scenario

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Corporate Discretionary Peg™

Workflow

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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.

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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

One
Two
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

One
Two
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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.

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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.

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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.

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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.
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* "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.