Direct Edge Offers New Type of Midpoint Order
June 26, 2012
Direct Edge has introduced a new order type for its EDGA Exchange— called Midpoint Discretionary Orders (MDO)— that will go into effect Wednesday, July 18, 2012.
This order type offers traders the opportunity to receive a full rebate at its displayed price and a reduced fee if executed within its discretionary range.
MDOs are displayed orders on the EDGA book that are pegged to the National Best Bid and Offer (NBBO) on the exchange, with a discretionary component (which is non-displayed) that can extend to the midpoint of the national best bids and national best offers. These orders can be entered with, or without, a limit price.
Any trade that occurs in this discretionary range, including at the midpoint, will be discounted 5 basis points per share. Orders on the book that are executed at the NBBO will receive the standard rebate of 3 basis points.
To enter this order, in FIX, this order type will be triggered with Tag 18 = d (Midpoint Discretionary Order) and Tag 40=P (Pegged).
While in the XPRS API, this order type will be triggered by entering “D” (Midpoint Discretionary Order) in the Special Order Type field and “Y” in the Display field.
The following flags will be introduced on July 2, 2012 to support MDOs, pending filing with the Securities and Exchange Commission (SEC): Non-Displayed Orders, adds liquidity (using Midpoint Discretionary order type), with a fee of 5 basis points, and Non-Displayed Orders, removes liquidity (using Midpoint Discretionary order type), also with a fee of 5 basis points.