2024 has been a major year of change for displayed trading on IEX. Notable changes include rolling out post-only functionality, enhancing our signal, and increasing the size of the rebate for displayed adding.
These changes are driven by our desire to improve the IEX displayed trading experience, which offers superior all-in markout performance and the ability for pre-trade price improvement with D-Limit. In recent months, we’ve been excited by some of the results from these changes, making significant progress towards our goal. We’re highlighting a few notable results in this blog.
Market Share
IEX’s displayed market share has grown significantly in recent months. Looking at IEX as a % of Exchange At NBBO volume > $1, IEX has reached new highs in August 2024, more than 2.5x prior levels.
IEX’s displayed trading differs materially from other maker-taker exchanges in that our quote stability looks more like that of inverted venues. If we consider just “stable” lit trades, trades at the NBBO where the NBBO does not change within 2ms after the trade, we see that IEX now delivers 1 of every 10 stable near side exchange trades, despite being just 4.2% of On-Exchange At-NBBO volume.
Quote Growth
IEX has seen substantial growth in our amount of displayed quoting as well. While most other exchanges with a substantial amount of two-sided quoting charge clients 30 mils/share to remove liquidity for symbols > $1, IEX offers liquidity takers a cheaper rate of 20 mils/share. Our quote growth means that much more of the time, a cheaper rate to take displayed liquidity is available to the broader market than before.
Looking at the Russell 3000, a broad market index of US single stocks, we see that IEX’s % of Time on Both sides of the NBBO has grown to more than 20%. We can see that IEX now has more Time on Both sides of the NBBO in R3K names than every exchange except NYSE and Nasdaq.
We also know that liquidity seekers value quoted size in addition to simply having a quote. IEX’s % of NBBO size in Russell 3000 names has more than doubled over the past month and is now larger than any exchange with at least 0.5% market share except NYSE and Nasdaq.
Performance
IEX’s quote growth is also important to other liquidity providers looking to “blend in” by posting displayed liquidity only at sufficiently large venues so as not to “stand out” by being the only quote on an exchange. Liquidity providers can now take advantage of D-Limit’s superior fill quality on a venue with more quote presence in R3K than nearly every other exchange.
Speaking of performance, IEX’s displayed adding performance metrics are better than ever.
Taking a fresh look at all-in markouts assuming top tier rebates as we have in a prior blog, IEX Lit D-Limit has widened its lead over the competition, more than doubling all other exchanges at the one-second horizon in one-cent spread names in mils/share, and nearly four times any other maker-taker exchange. If a four-mil rebate was enough to put IEX ahead of other exchanges with 30+ mils rebates, increasing our rebate to 20 has significantly widened that lead.
Meanwhile, institutional brokers using Lit D-Limit are receiving over 40 mils per share in pre-trade price improvement, which comes out to nearly 0.65 bps across all D-Limit volume, up over 50% vs April 2024.
Ultimately, displayed trading on IEX using Lit D-Limit is more performant and more popular than ever before. And the experience is materially different than it was even just a couple months ago. If you want to learn more about D-Limit or on how to optimize your displayed trading experience on IEX, contact your sales representative or drop us a line at sales@iextrading.com .
Sam Stevens
Head of Business Analytics