Discretionary Peg™

(D-Peg®)

Rests outside the NBBO and is willing to step to the midpoint–except when the Signal is on.

  • Dark
  • More aggressive than P-Peg
About

Discretionary Peg (D-Peg) is a non-displayed order type that is priced at the less aggressive of one (1) Minimum Price Variant (MPV, $0.01 for most stocks) lower (higher) than the NBB (NBO) for buy (sell) orders or the order’s limit price.

D-Peg orders passively rest on the IEX Exchange order book while seeking to access liquidity at a more aggressive price up to the midpoint of the National Best Bid or Offer (NBBO), except when the Signal determines that the quote is unstable or “crumbling.”

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

One
Two

Downloads

No items found.
Discretionary Peg™

Workflow

Contact Us

Questions about trading on IEX Exchange?
Reach out here or talk to your IEX contact.

Thank you! Your submission has been received!
Oops! Something went wrong while submitting the form.