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Effective Monday, March 26, 2012, for EDGX Exchange, Inc. (“EDGX”) and Monday, April 2, 2012, for EDGA Exchange, Inc. (“EDGA"), Direct Edge will introduce the following new routing enhancements:
Mid-Point Route (RMPT)
Available via EDGA only, Mid-Point Route (“RMPT”) is an enhancement to our Mid-Point Peg order. Using RMPT in conjunction with a Mid-Point Peg order enables Members to interact with mid-point liquidity on EDGA and EDGX as well as select participants in our Comprehensive Liquidity CheckSM (“CLC”) and other exchanges with a single order — returning a low blended rate. RMPT is a cost-effective way to target mid-point liquidity across multiple destinations.
Routing Behavior
After interacting with mid-point liquidity on EDGA, RMPT routes out as a Mid-Point Peg order to the Mid-Point Match on EDGX and then to select CLC participants and exchanges.
Required Fields
|
FIX |
XPRS |
|
Affected Flags
|
Flag |
Description |
Rate |
Exchange |
|
PA |
Mid-Point Routing Strategy (RMPT), adds liquidity |
0.0010 |
EDGA only |
|
PT |
Mid-Point Routing Strategy (RMPT), removes liquidity |
0.0010 |
EDGA only |
|
PX |
Mid-Point Routing Strategy (RMPT), routed out |
0.0020 |
EDGA only |
Timing
- EDGA - Monday, April 2, 2012
Post to Away Markets
Direct Edge is introducing a new way to optimize routing using our Maximize Liquidity strategies — ROUT, ROUE and ROUX. After simultaneously accessing liquidity from all displayed markets, Members will be able to post any remaining liquidity to a specific destination.
Required Fields
Members must populate FIX Tag 9303 or the Route Out Eligibility field in XPRS with the following values to utilize this functionality:
- a = Post to EDGA (for orders originating from EDGX)
- b = Post to EDGX (for orders originating from EDGA)
- c = Post to NYSE Arca
- d = Post to NYSE
- e = Post to NASDAQ
- f = Post to NASDAQ OMX BX
- g = Post to NASDAQ OMX PSX
- h = Post to BATS BYX
- i = Post to BATS BZX
- j = Post to LavaFlow
- k = Post to CBSX
- l = Post to AMEX
- m = Post to CHX
- n = Post to NSX
Affected Flags
The following liquidity flags will be returned when an order adds liquidity to an away destination using ROUT, ROUE or ROUX. When removing liquidity from away destinations, the standard flags will be returned.
|
Flag |
Description |
Rate |
Exchange |
|
8 |
Routed to NYSE Amex, adds liquidity |
(0.0015) |
EDGA & EDGX |
|
9 |
Routed to NYSE Arca, adds liquidity (Tapes A or C) |
(0.0021) |
EDGA & EDGX |
|
10 |
Routed to NYSE Arca, adds liquidity (Tape B) |
(0.0022) |
EDGA & EDGX |
|
A |
Routed to NASDAQ, adds liquidity |
(0.0020) |
EDGA & EDGX |
|
F |
Routed to NYSE, adds liquidity |
(0.0015) |
EDGA & EDGX |
|
M |
Adds liquidity on LavaFlow |
(0.0024) |
EDGA & EDGX |
|
P |
Adds liquidity on EDGX, including pre & post market |
(0.0027) |
EDGA only |
|
RA |
Routed to EDGA, adds liquidity |
(0.0004) |
EDGX only |
|
RB |
Routed to BX, adds liquidity |
0.0018 |
EDGA & EDGX |
|
RC |
Routed to NSX, adds liquidity |
(0.0026) |
EDGA & EDGX |
|
RM |
Routed to CHX, adds liquidity |
FREE |
EDGA & EDGX |
|
RS |
Routed to PSX, adds liquidity |
(0.0024) |
EDGA & EDGX |
|
RW |
Routed to CBSX, adds liquidity |
0.0017 |
EDGA & EDGX |
|
RY |
Routed to BATS BYX, adds liquidity |
0.0003 |
EDGA & EDGX |
|
RZ |
Routed to BATS BZX, adds liquidity |
(0.0025) |
EDGA & EDGX |
Timing
- EDGX - Monday, March 26, 2012
- EDGA - Monday, April 2, 2012
H Flag Update
Direct Edge has replaced the H flag with HA and HR flags. The new flags will differentiate between added and removed hidden liquidity. There has been no change to the rates for adding or removing hidden liquidity.
|
Flag |
Description |
Exchange |
|
HA |
Non-Displayed Orders, adds liquidity |
EDGA & EDGX |
|
HR |
Non-Displayed Orders, removes liquidity |
EDGA only |
More Information
- EDGA Fee Schedule
- EDGX Fee Schedule
- Direct Edge Sales Team at 201.942.8259
