Discretionary Peg™
Functionality
D-Peg combines elements of Midpoint Peg and Primary Peg, as well as other traditional discretionary order types. When the Signal makes a determination that a quote is unstable, D-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.”
The NBBO is $10.10 x $10.14. D-Peg buy order with a $10.13 limit is entered and booked at $10.09, one MPV below the NBB. The quote is stable.
- Example 1: ISO Sell order with $10.09 limit crosses the spread and executes with D-Peg order at $10.09
- Example 2: Sell order with $10.10 limit crosses the spread and D-Peg order uses $0.01 of discretion to trade at $10.10
- Example 3: Sell order with $10.11 limit expresses its full limit and D-Peg order uses $0.02 of discretion to trade at $10.11
- Example 4: D-Peg order uses $0.03 of discretion to trade with a Midpoint Peg sell order at $10.12
- Example 5: D-Peg orders cannot execute at prices more aggressive than the midpoint; no trade occurs
One
Quote is Crumbling. The Signal is “On.”
The NBBO is $10.10 x $10.14. D-Peg buy order with a $10.13 limit is entered and booked at $10.09, one MPV below the NBB. The quote is unstable.
- Example 1: ISO Sell order with $10.09 limit crosses the spread and executes with D-Peg order at $10.09
- Example 2: Sell order with $10.10 limit crosses the spread, but D-Peg order does not use discretion; no trade occurs
- Example 3: Sell order with $10.11 limit expresses its full limit, but D-Peg order does not use discretion; no trade occurs
- Example 4: Midpoint sell order enters, but D-Peg order does not use discretion; no trade occurs
- Example 5: D-Peg orders cannot execute at prices more aggressive than the midpoint; no trade occurs
Two
Example Scenario
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