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
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Example Scenario

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Discretionary Peg™

Workflow

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Nobody Likes Buyer’s Remorse

D-Limit is designed to allow you to buy a stable bid—not a bid that ends up becoming the offer. Backed by IEX Exchange's Signal, this order type is designed to minimize adverse selection and facilitate genuine spread capture. D-limit is also designed to obtain pre-trade price improvement and is the only displayed exchange order type that enables users to achieve prices better than their initial resting price.

FIX Details
3.5 Trillion
In notional value traded on IEX using D-Limit since its inception
75%
Proportion of lit IEX trading volume traded using D-Limit
19%
Of Institutional brokers' D-Limit volume sees 2¢/share average Price Improvement*
75%
Price stability with D-limit vs 28% price stability on other exchanges**

Real Results

D-Limit's impact.
New Functionality Improves D-Limit Hit Rates
D-Limit’s Cancel/Reprice functionality increased hit rates from 27% to 35%.
Learn more
Significant Savings
19% of Institutional brokers' D-Limit volume experiences an average price improvement of 2¢/share.
Learn more
Enhanced Stability with Signal V6
D-Limit is powered by the new Signal V6, designed to predict more price changes while maintaining the same accuracy.
Learn more

D-Limit in Action

Explore the mechanics of D-Limit through a detailed workflow diagram, illustrating the journey of an order from placement to execution. Then, see real-world scenarios that demonstrate D-Limit's dynamic response in varying market conditions.

Example Scenario

Quote is Stable. The Signal is "Off."
The NBBO is $10.10 x $10.14. D-Limit buy order is booked at $10.10. The quote is stable.

ISO Sell order with a $10.09 limit crosses the spread; trade occurs at the resting price of $10.10.
Quote is Crumbling. The Signal is "On."
The NBBO is $10.10 x $10.14. A D-Limit buy order with a limit of $10.10 is repriced to $10.09, 1 MPV below the unstable price ($10.10). The quote is unstable.

ISO Sell order with a $10.09 limit crosses the spread; trade occurs at the resting price of $10.09.

Example Scenario

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D-Limit®

Workflow

This diagram details a base case messaging flow for a client sending a D-Limit order to IEX Exchange, the Signal (i.e., Crumbling Quote Indicator or CQI) triggering, repricing of the order, and finally a client cancellation of the order.

Cancel/Reprice Functionality

D-Limit now offers a Cancel/Reprice functionality, addressing Members' needs for better order management without consuming the restatement message. Members who opt-in to this functionality can configure D-Limit orders for automatic action 10 milliseconds post-Signal fire, enhancing price discovery and liquidity on IEX Exchange.
Read more

Resources

More information on D-limit.
Pricing
Starting September 2023, displayed adding volume on IEX Exchange earns a 4 mil rebate, with $0.0010/share charged for removing liquidity.
Learn more
Signal V6
D-Limit is powered by the new Signal V6, designed to predict more price changes while maintaining the same accuracy.
Learn more
Restatement Messages
When D-Limit orders are restated, users receive a restatement message, containing the price to which D-Limit orders were moved.
Learn more
Insights

The Latest on D-Limit

* "Institutional Brokers” defined as Full-Service and Agency broker-dealers, based on IEX classifications on a best-efforts basis by Member firms’ trading sessions.
** Stable volume is defined as volume after which there was not an NBBO change in the 2ms following a trade. Stability comparisons made on volume taking place at the NBBO.