Overview
Effective Monday, December 5, 2011, for EDGA and December 12, 2011, for EDGX, Direct Edge will introduce new functionality for the RDOX and ROUQ routing strategies.
RDOX
- RDOX strategy routes directly to the New York Stock Exchange (NYSE) after passing through the Direct Edge exchange book.
- Members will now have the option to designate orders as re-routable by NYSE.
- If the option is elected, the R flag will be yielded if an execution results from NYSE re-routing.
- If the option is not elected, RDOX will continue to send a DNS (DoNotShip) order to NYSE.
- This functionality will only be available via the FIX protocol.
FIX
Tag |
Field Name |
Req’d |
Comments / Valid values |
18 |
ExecInst |
N |
r = Re-routable (for RDOX strategy only) |
ROUQ
- ROUQ will route to a select group of dark pools after passing through the Direct Edge exchange book.
- ROUQ will complement our suite of dark only strategies that target the Comprehensive Liquidity Check (CLC) to provide low-cost executions with minimal market impact and latency.
- CLC executions will yield the Q flag, which designates a fee of $0.0020.
Strategy |
Routing Behavior |
Flag |
Rate |
ROUZ |
CLC |
Z |
0.0010 |
ROUD |
Fast CLC |
T |
0.0012 |
ROUQ |
Super Fast CLC |
Q |
0.0020 |
Note: Orders check the originating exchange book before routing.
Timing
- EDGA Exchange – Monday, December 5th
- EDGX Exchange – Monday, December 12th
Additional Resources
- FIX Specifications
- Routing page on the Direct Edge website
- Comprehensive Liquidity Check Fact Sheet
- Direct Edge Sales Team at 201.942.8259