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2nd Member Testing Opportunity This Saturday, June 4

IEX Trading Alert #2016 - 016

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 (the "Exchange") in August 2016.
  • IEX is offering five (5) Saturday test opportunities from March to August, the second of which will occur on Saturday, June 4.
  • During the June 4 Saturday test, participants should expect the following Exchange behavior:
    • The Investors Exchange FIX Specification will be enforced.
    • Matching Engine logic will reflect the Exchange Rule Book.
    • IEX quotation and trade information will be published on the SIPs.
    • Test data is also available nightly, directly from the SIPs.
    • Clearing files from Saturday's data will be available directly from NSCC on Monday, June 6.
  • OATS Route and Combined Order/Route Reports will neither be produced nor verified for the June 4 test (they will, however, be available for the July 9 test).

What is some general information about the Saturday test?

Timing

The IEX Production system will be available from 8:00 a.m. to 1:00 p.m. ET on Saturday, June 4 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

Connectivity

The IEX Production system will be available through Subscribers' existing sessions, IPs and ports. No changes to physical or logical connectivity will be made for the Saturday test.

Scope

During the test, the following twenty (20) securities will transition to the Exchange for testing purposes only, while all other securities not listed below will remain on the IEX ATS:

  • Test symbols: CBO, CBX, ZBZX, ZJZZT, ZTEST, ZVV, ZVVV, ZVZZT, ZWZZT, ZXZZT
  • Non-test securities: VALE.P, VG, VHC, VIAV, VIP, VLY, WIN, XOMA, YINN, ZIOP

All functionality of IEX will be available on all securities, e.g. matching, routing, quoting. TOPS will publish quotations on all symbols.

These twenty securities will remain on the IEX ATS between Monday, June 6 through the exchange migration, with the possible exception of future Saturday testing sessions.

Assistance

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

How does the Investors Exchange FIX Specification differ from the ATS FIX Specification?

For the 20 securities that have migrated to the Exchange, IEX will populate two (2) new FIX tags on Execution Report and Trade Bust messages for executions on IEX, in accordance with the Investors Exchange FIX Specification.

  • NoContraBrokers (382) = 1
  • ContraBroker (375) = IEXG

Executions processed on the IEX ATS or at external trading centers will not populate NoContraBrokers (382) or ContraBroker (375).

Additionally, the Default MaxFloor (111) Override port setting will not be available. Meaning the MaxFloor (111) value will be used to define the number of shares displayed on the Exchange. If MaxFloor (111) is left blank, IEX will no longer default to "0" (zero) for limit orders, and the entire limit order quantity will be displayed. Omission of MaxFloor (111) for pegged orders will continue to express non-displayed pegged orders only.

Lastly, the port setting to convert orders with a time-in-force ("TIF") of SYS or GTX to a TIF of DAY will not be available.

What changes should participants expect in the Matching Engine?

Broker Priority will not be enforced for any securities during the test. Orders will be matched according to Price-Display-Time book priority.

Additionally, unlike displayed orders for securities on the ATS, displayed orders for the 20 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 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 more than once, 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 Exchange Act of 1934 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 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:

How can participants test clearing and settlement?

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 PSE environment on Monday, June 6 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, applications 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 in order to be eligible for participation. The first page of the document provides a checklist of the agreements and forms required.

New 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 a participant test Exchange functionality, including identifying IEX quotations on the SIP?

IEX will offer the following Saturday testing opportunities in advance of the Exchange launch (pending SEC approval):

  • March 5: 1st Member Testing Opportunity (COMPLETE)
  • June 4: 2nd Member Testing Opportunity
  • July 9: 3rd Member Testing Opportunity
  • July 30: 4th Member Testing Opportunity
  • August 13: 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 the 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.