.jpg)
Pending SEC approval, the EDGA ExchangeSM (EDGA®) will modify the behavior of Hide Not Slide (HNS) and Price Adjust orders entered with a Post Only instruction. The Exchange will also be eliminating the Single Re-Price order instruction.
Under the new behavior, HNS Post Only and Price Adjust Post Only orders will execute as removers of liquidity when it is in the economic best interest of the customer, net of transaction costs or rebates.
In addition, the Post Only instruction will now be ignored on HNS and Price Adjust orders for all securities that trade under $1.00.
Hide Not Slide Post Only and Price Adjust Post Only
Currently, a HNS or Price Adjust order with the Post Only instruction will never execute as a remover of liquidity on the EDGA book. Under the new behavior, HNS Post Only and Price Adjust Post Only orders will now execute as removers of liquidity whenever it is in the economic best interest of the customer, net of transaction costs or rebates. Assuming the current EDGA inverted (Taker/Maker) fee structure, it will always be in the economic best interest of the customer to remove liquidity on entry regardless of price improvement.
|
Example: |
HNS or Price Adjust Post Only executes at its Limit Price on Entry |
|
|
|
|
NBBO: |
$10.00 x $10.01 |
|
Order 1: |
Sell 100 @ $10.01 |
|
Order 2: |
Buy 100 @ $10.01 HNS Post Only or Price Adjust Post Only |
|
Result: |
Order 2 trades with Order 1 at $10.01. The execution at $10.01 minus the remover rebate ($10.01 - $0.0002 = $10.0098) is economically better than if the order had posted and executed at $10.01 and received the liquidity provider charge ($10.01 + $0.0005 = $10.0105). |
Single Re-Price
The Single Re-Price order instruction will no longer be supported.
FIX orders entered with Tag 9202=R or XPRS orders entered with an R in the Special Order Type field will be rejected.
Implementation Dates
Direct Edge anticipates that the changes described in this notice will be in production by October 2014, pending SEC approval. When an exact date has been determined, a rollout schedule will be released to members.
More Information
- Refer to EDGA Rule Filing SR-EDGA-2014-20.
