Boxes and Lines
Blog posts, podcast episodes, and insights from IEX Exchange.
It's a simple technology: 38 miles of coiled cable that incoming orders and messages must traverse before arriving at the exchange’s matching engine. This physical distance results in a 350-microsecond delay, giving the exchange time to take in market data from other venues—which is not delayed—and update prices before executing trades.
“As an exchange, as a referee in the market, you should be faster than your fastest participant.”
The IEX Signal also known as the Crumbling Quote Indicator, or CQI, is a mathematical formula that powers some of IEX Exchange’s signature order types, including Discretionary Peg (D-Peg) and Discretionary Limit (D-Limit). The development of the Signal is based on the understanding that stock prices—the official best bids and offers in the market—don’t always change as a single event. Rather, they often occur as a sequence of updates over a sub-second timeframe, which is only complete when the final exchange’s price changes.
“Why would you buy stock at $10 when less than 2 milliseconds later you could buy it at $9.99? You wouldn’t. Who would do that?”
*Signal V5 is "on" for 2 milliseconds, or until the price changes.
While IEX endeavors to utilize data and calculations that it believes to be reliable, IEX cannot ensure the timeliness, accuracy, reliability or completeness of any data or calculations, including our measure of when we determine the quote to be crumbling.