Primary Peg (P-Peg) Order Type
IEX’s Primary Peg (P-Peg) is a non-displayed order type which extends the protections of D-Peg and the Signal to trading at the NBB for buys and NBO for sells.
IEX Primary Peg orders rest on the order book 1 minimum price-variant (MPV, $0.01 for most stocks) lower than the NBB for buy orders and 1
MPV higher than the NBO for sell orders. They exercise discretion to trade at the NBB or NBO when the quote is stable, but stay booked 1 MPV away from the NBBO during a crumbling quote, as determined by the Signal.
Example Scenario 1
Quote is Stable, IEX Signal is "Off"
Primary Peg buy order booked at $10.09, 1 MPV below the NBB. The NBBO is $10.10 x $10.14, during a period of quote stability.
- Example 1: Sell ISO with a $10.09 limit crosses the spread and executes with the Primary Peg order at its resting price of $10.09.
- Example 2: Sell order with a $10.10 limit crosses the spread and the Primary Peg order exercises price discretion to execute on the NBB at $10.10.
- Example 3: Sell order with a $10.11 limit enters but doesn’t trade with the Primary Peg order, because Primary Peg orders cannot execute at prices more aggressive than the NBB for buy orders (or NBO for sell orders); no trade occurs.
Example Scenario 2
Quote is Crumbling, the Signal is “On”
Primary Peg buy order booked at $10.09, 1 MPV below the NBB. The NBBO is $10.10 x $10.14, during a period of quote instability (i.e., the quote is crumbling).
- Example 1: Sell ISO with a $10.09 limit crosses the spread and executes with the Primary Peg order at its resting price of $10.09.
- Example 2: Sell order with a $10.10 limit crosses the spread, but the Primary Peg order does not exercise price discretion while the Signal is on; no trade occurs.
- Example 3: Sell order with a $10.11 limit enters but doesn’t trade with the Primary Peg order, because Primary Peg orders cannot execute at prices more aggressive than the NBB for buy orders (or NBO for sell orders); no trade occurs.
