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First Member Testing Opportunity on Saturday, March 5

IEX Trading Alert #2016 - 005

Please Route To: Trading, Business, Market Data Technology, Technology, and Trade Support

What you need to know:

  • Pending SEC approval, IEX will transition the IEX ATS to Investors Exchange in May 2016.
  • IEX is offering five (5) Saturday test opportunities from March to May, the first of which will occur on Saturday, March 5
  • During the March 5th Saturday test, participants should expect the following new behavior:
    • IEX quotation and trade information will be on the SIPs
    • Matching Engine logic will reflect Investors Exchange rules
    • Clearing files from Saturday's data will be available directly from the NSCC on Monday, March 7
  • OATS Route and Combined Order/Route Reports will neither be produced nor verified for the March 5th test (they will, however, be available for the March 19 test)

What is some general information about the Saturday test?

The IEX Production system will available from 8:00 a.m. to 1:00 p.m. ET on Saturday, March 5 for testing functionality of Investors Exchange.

  • 8:00 a.m. - 9:30 a.m. ET: Pre-Market Session
  • 9:30 a.m. - 12:00 p.m. ET: Regular Market Session
  • 12:00 p.m. - 1:00 p.m. ET: Post-Market Session

During the test, all securities will behave as they will during Exchange operation, and all functionality of IEX will be available on all securities, e.g. matching, routing, quoting. TOPS will publish quotations on all symbols.

For any questions or issues during Saturday's test, please contact IEX Market Operations at 646.343.2300 or MarketOps@iextrading.com.

How will IEX be identified on the SIP?

IEX will be identified in CTA (CQS/CTS feeds) and UTP (UQDF/UTDF feeds) with a Market Center Originator ID of "V". See the CTA or UTP websites for technical specifications, the latest are linked below:

What changes should I expect in the Matching Engine?

Unlike displayed orders for securities on the ATS, displayed orders for securities that have migrated to the Exchange will be subject to the "price sliding process" pursuant to proposed IEX Rule 11.190(h). Displayed orders for securities that have migrated to the Exchange will no longer be subject to the Midpoint Price Constraint, which will now only apply to non-displayed orders on the Exchange.

An order eligible for display by the Exchange that, at the time of entry, would create a violation of Rule 610(d) of Regulation NMS by locking or crossing a Protected Quotation of an external market will be ranked and displayed by the System at one (1) MPV below the current NBO (for bids) or one (1) MPV above the current NBB (for offers) (“display-price sliding”). An order subject to display-price sliding will retain its limit price irrespective of the price at which such order is ranked and displayed. In the event the NBBO changes such that an order subject to display-price sliding would no longer lock or cross the Protected Quotation of an external market, the order will receive a new timestamp, and will be displayed at the most aggressive permissible price. Such orders may be re-priced once or multiple times, depending on changing market conditions and the order’s limit price.

In the event that the market becomes locked, the System will observe the following practices for displayed orders:

  • Resting orders that are displayed at the price of the locking quotation (“locking price”) as defined in proposed IEX Rule 11.310, and were originally displayed in compliance with rules and regulations of the Exchange and the Act will maintain their displayed price and quantity.
  • Displayable orders posting to the Order Book on the same side as an order which is locked and was originally displayed, as per the above statement, are not permitted to join the locking price. Such orders will be displayed and ranked by the System pursuant to the Exchange’s display-price sliding practices described above.

In the event that the market becomes crossed, the System will observe the following practices for displayed orders:

  • Resting orders that are displayed at a price which has become crossed and were originally displayed in compliance with rules and regulations of the Exchange and the Act will maintain their displayed price and quantity.
  • Displayable buy (sell) orders being posted to the Order Book during a crossed market will be displayed and ranked by the System one (1) MPV below (above) the lowest Protected Offer (highest Protected Bid).

How will the clearing and settlement test work?

Trades matched on IEX will be disseminated to the National Securities Clearing Corporation (NSCC), which will process clearing and settlement.

  • All clearing records sent to the NSCC by IEX will be submitted to NSCC's PSE environment on Monday, March 7th using the Universal Trade Capture (UTC) format.
  • Clearing files will be made available by the NSCC by end of day Monday
  • Members and their clearing agent systems should be prepared to handle clearing for IEX in UTC format.
  • Client output will carry the Exchange's UTC Market Code of "170".
  • For more information regarding the UTC format, please refer to https://www.dtcclearning.com/learning/clearance/topics/universal-trade-capture.html.

Who is eligible to participate in the scheduled Saturday tests?

Members, Service Bureaus, Sponsored Participants, and Extranet Providers

Those who wish to access IEX's system for order entry and execution must submit all required Connectivity Agreements and Forms and such forms must be approved by IEX on the Monday prior to a Saturday test to be eligible for participation. Additionally, new Members and Service Bureaus must complete a successful certification in IEX's Certification environment prior to participating in a Saturday test. The first page of the document provides a checklist of the agreements and forms required from each type of participant.

Additionally, application and agreements for broker membership, service bureau access, or sponsored access must be submitted to IEX by the Monday prior to a Saturday test to be eligible for participation (IEX approval prior to testing is not required for these documents). The checklist on the first page of each document below outlines the required application, agreement, and forms for each participant:

Data Recipients

Those who wish to access IEX's system for the receipt of IEX's data products (e.g. TOPS) must submit all required Data Agreements and Forms and such forms must be approved by IEX on the Monday prior to a Saturday test to be eligible for participation. The first page of the document provides a checklist of the agreements and forms required.

Newly Connecting Participants

Those who require new physical connections to IEX, please plan accordingly to ensure the physical connectivity is ordered at least two (2) weeks in advance of the test you wish to participate in.

When can I test Exchange functionality, including identifying IEX quotations on the SIP?

IEX will offer the following Saturday testing opportunities in advance of the Exchange launch:

  • March 5 (Sat.): 1st Member Testing Opportunity
  • March 19 (Sat.): 2nd Member Testing Opportunity
  • April 9 (Sat.): 3rd Member Testing Opportunity
  • April 23 (Sat.): 4th Member Testing Opportunity
  • May 7 (Sat.): 5th Member Testing Opportunity

During each Saturday test, the IEX Production system will available from 8:00 a.m. to 1:00 p.m. ET for testing functionality of Investors Exchange.

Test data is available nightly directly from the SIPs.

  • CTA: Test data is disseminated from CQS/CTS on business weekdays from 9:00 – 9:15 p.m. ET from the multicast Playback Test channels (not over Production channels).
  • UTP: A test file is recorded to be replayed in the evenings from 9:00 p.m. to 10:30 p.m. ET to all UTP data feed subscribers. Evening test data is provided over the production IP services
    • during the designated times. No registration is required to participate in evening testing.

Where can I learn more?

About IEX

Dedicated to institutionalizing fairness in the markets, IEX provides a more balanced marketplace via simplified market structure design and cutting-edge technology. IEX operates a fair-access platform accessible by any qualified broker dealer. IEX is driven by a team of cross-industry experts with backgrounds spanning market venues, electronic trading, and broker-dealers. IEX is the first equity trading venue seeded exclusively by a consortium of buy-side investors, including mutual funds, hedge funds, and family offices. Learn more at: iextrading.com.