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Effective Monday, July 1, 2013, Direct Edge® will introduce the following pricing changes on the EDGX Exchange (EDGX®), pending filing with the Securities and Exchange Commission (SEC).
New Investor Tier
EDGX will introduce a new Investor Tier for a rebate of $0.0032 per share for all liquidity posted on EDGX when both the following criteria are met:
- Add a minimum of 0.15% of the Total Consolidated Volume (TCV) on a daily basis, measured monthly
- Have an “added liquidity” to “added plus removed liquidity” ratio of at least 85%
Refer to footnote 13 in the EDGX Fee Schedule for more information.
Mega Step Up Tiers
Members can qualify for a rebate of $0.0032 per share for liquidity added to EDGX when both the following criteria are met:
- Post 0.12% of the TCV in average daily volume (ADV) more than their February 2011 ADV added to EDGX
- Add a minimum of 0.35% of the TCV on a daily basis, measured monthly
Members that post 0.12% of the TCV in ADV more than their February 2011 ADV added to EDGX but don’t meet the TCV minimum can qualify for a rebate of $0.0030 per share for liquidity added to EDGX.
Refer to footnote 1 in the EDGX Fee Schedule for more information.
Market Depth Tier Update
Members will qualify for a rebate of $0.0033 per share for displayed liquidity added to EDGX if they post at least 0.50% of TCV in ADV, with at least 1.8 million shares being non-displayed orders that yield Flag HA, a reduction from 2 million shares.
Refer to footnote 1 in the EDGX Fee Schedule for more information.
Retail Order Tier Update
EDGX will introduce an additional criterion to qualify for the Retail Order Tier. In addition to adding an ADV of 0.10% or more of TCV in Retail Orders (Flag ZA) on a daily basis, measured monthly, Members will also be required to have an “added liquidity” to “added plus removed liquidity” ratio of at least 85% in order to earn the increased rebate of $0.0034 per share.
Refer to footnote 4 in the EDGX Fee Schedule for more information.
ROUQ Routing Strategy
The following flags will be updated on EDGX for routing and/or removing using the ROUQ strategy.
|
Flag |
Description |
Fee Per Share |
|
PR |
Remove liquidity from EDGX book using ROUQ routing strategy |
$0.0029 |
|
RQ |
Routed using ROUQ routing strategy |
$0.0029 |
Ratio Calculation
The “added liquidity” to “added plus removed liquidity” ratio is calculated based on the following flags:
|
Add Flags |
|
|
Flag |
Description |
|
B |
Add liquidity to EDGX book (Tape B) |
|
V |
Add liquidity to EDGX book (Tape A) |
|
Y |
Add liquidity to EDGX book (Tape C) |
|
HA |
Non-Displayed Orders that add liquidity (not including Midpoint Match orders) |
|
MM |
Add liquidity to Midpoint Match (using Midpoint Match order type) |
|
RP |
Non-Displayed Orders, adds liquidity (using Route Peg Order) |
|
ZA |
Retail Order, adds liquidity |
|
3 |
Add liquidity – pre & post market (Tapes A or C) |
|
4 |
Add liquidity – pre & post market (Tape B) |
|
Remove Flags |
|
|
Flag |
Description |
|
N |
Remove liquidity from EDGX book (Tape C) |
|
W |
Remove liquidity from EDGX book (Tape A) |
|
BB |
Remove liquidity from EDGX book (Tape B) |
|
MT |
Remove liquidity from Midpoint Match (using Midpoint Match order type) |
|
PI |
Remove liquidity from EDGX book against the Midpoint Match |
|
PR |
Remove liquidity from EDGX book using ROUQ routing strategy |
|
ZR |
Retail Order, Removes liquidity |
|
6 |
Remove liquidity – pre & post market (All Tapes) |
More Information
- EDGX Fee Schedule for July 2013 (pending filing with the SEC)
