In our previous two blog posts about D-Limit, we highlighted the benefits of D-Limit for those who choose to use the order type. Based on our initial data, we showed that D-Limit outperforms displayed orders on other exchanges (demonstrated by better markouts) and, if incorporated optimally, can provide its market-leading performance with no material cost to fill rates.

But D-Limit doesn’t operate in a vacuum. During the approval process for D-Limit, we laid out our expectations for how D-Limit could improve competition and promote public price discovery for the broader market.

In this post, we use five months of D-Limit…

Measuring fill rates vs. price improvement

In our last blog post, we demonstrated that D-Limit outperforms other exchanges’ offerings when measured in markouts. Even when factoring in fees and rebates, D-Limit is a clear winner.

Of course, the obvious follow-up questions are around fill rates. If you are giving up potential volume in order to get higher-quality executions, is it worth it?

The below analysis aims to answer that question quantitatively.

We should first explain that D-Limit does not only provide markout performance, but also the opportunity for displayed price improvement (PI). Typically, price improvement is thought of from the…

Initial data shows differentiated performance in D-Limit trading

With the non-stop headlines on the growth of off-exchange trading and the record percentage of overall volume on the TRF, displayed on-exchange markets are at an innovation crossroads.

For more than a decade, exchanges have incessantly tweaked their pricing, apparently thinking that was the only way they felt they could differentiate themselves in displayed trading. These pricing models (which often include rebates) have not provided any material innovation to displayed trading. In fact, research[1] has concluded that after factoring in rebates, fees, and the post-trade market environment, net costs of trading are…

Update: Due to regulatory timelines, the implementation of the change discussed below is now expected in February 2021, pending SEC approval. Final dates will be announced via Trading Alert.

In mid-January 2021, we plan to update a part of the IEX Exchange architecture. The delay imposed on the dissemination of all outbound messages — including IEX market data and outbound order messages to Members — will be reduced from 350 to 37 microseconds — much closer to a real-time basis.

This is a positive development and one that we believe will enhance Members’ execution and risk management processes.

Pending the…

A new approach to serving retail on a national securities exchange

Since its early days as an ATS, IEX has been known for its rich midpoint liquidity, which allows investors to trade in size at the midpoint of the national best bid and best offer — often considered the fairest price — without leaking information that can dramatically move the price of a stock.

In fact, this dynamic is one of the primary reasons that the Investors Exchange (IEX) dramatically outperforms every other exchange in trading quality as measured by effective spread and price improvement — two widely-accepted proxies for…

Emerging trends from IEX’s first months

As 2017 kicks off — four months since IEX fully launched as an exchange — we are excited to share new, data-driven insight into the trading dynamics and quality of execution on IEX.

All executions on exchanges are marked with exchange codes when disseminated over the public Securities Information Processor (SIP) data feeds. This “Trade and Quote” (TAQ) data makes it possible to compare the trading dynamics on IEX to those of the other exchanges.

Over the past few months, data analysis completed by both IEX and other exchange operators has revealed a number…

Ronan Ryan

President and Co-Founder of @IEX

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