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
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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
Discretionary Peg™

Workflow

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