Effective October 1, 2011, Direct Edge will make the following pricing changes to EDGX and EDGA fee schedules, pending SEC approval.
EDGX Exchange:
1. The fee to remove liquidity from EDGX will be reduced to 0.0029 per share when the following conditions are met:
- MPIDs must have an added liquidity ratio of at least 10%. The calculation for the added liquidity ratio is defined as add flags/(add flags + take flags) X 100. Refer to footnote 12 in the EDGX Fee Schedule for complete details.
- Rate applies to single MPIDs only. Share volume calculations for wholly owned affiliates cannot be aggregated across multiple MPIDs on a prospective basis.
When these conditions are not met, firms will receive a removal rate of $0.0030 per share.
2. Rebate for adding non-displayed orders will be $0.0015 per share.
3. The following new liquidity flags will be introduced:
- H – Non Displayed Orders (excluding MidPoint Match orders) = (0.0015)
- PI – Remove liquidity from EDGX book against the MidPoint Match = 0.0029
- RR – Removes liquidity when routed to EDGA using routing strategies IOCX or IOCT = 0.0007
Affected Liquidity Flags:
The following liquidity flags will be updated to reflect the changes to the EDGX Fee Schedule effective October 1, 2011, pending SEC approval:
Flag |
Description |
Rate |
H |
Non Displayed Orders that add liquidity (excluding MidPoint Match orders) |
(0.0015) |
N |
Remove liquidity from EDGX book (Tapes B & C) |
0.0029 |
W |
Remove liquidity from EDGX book (Tape A) |
0.0029 |
6 |
Remove liquidity – pre & post market (All Tapes) |
0.0029 |
PI |
Remove liquidity from EDGX book against MidPoint Match |
0.0029 |
RR |
Removes liquidity when routed to EDGA using routing strategies IOCX or IOCT |
0.0007 |
EDGA Exchange:
1. The rebate to add liquidity for securities at or above $1.00 will be $0.0004 per share
2. The fee to remove liquidity for securities at or above $1.00 will be $0.0007 per share
3. A new tier will be introduced for adding liquidity.
- Firms that add more than 1% of the Total Consolidated Volume (TCV) in average daily volume for the month will receive a rebate of $0.0005 per share. Refer to footnote 4 in the EDGA Fee Schedule for more details.
Affected Liquidity Flags:
The following liquidity flags will be updated to reflect the changes to the EDGA Fee Schedule effective October 1, 2011, pending SEC approval:
Flag |
Description |
Rate |
B |
Add liquidity to EDGA book (Tape B) |
(0.0004) |
I |
Routed to EDGX |
0.0029 |
N |
Remove liquidity from EDGA book (Tapes B & C) |
0.0007 |
V |
Add liquidity to EDGA book (Tape A) |
(0.0004) |
W | Remove liquidity from EDGA book (Tape A) |
0.0007 |
Y |
Add liquidity to EDGA book (Tape C) |
(0.0004) |
3 |
Add liquidity – pre & post market (Tapes A & C) |
(0.0004) |
4 |
Add liquidity – pre & post market (Tape B) |
(0.0004) |
6 |
Remove liquidity – pre & post market (All Tapes) |
0.0007 |
RR |
Routed to EDGX using routing strategies IOCX or IOCT, removes liquidity |
0.0029 |
More Information:
- EDGA Fee Schedule for October 2011 (pending SEC approval)
- EDGX Fee Schedule for October 2011 (pending SEC approval)
- Contact your Direct Edge Sales Representative at 201.942.8259.