The CLC strategy taps several sources of non-traditional, non-displayed liquidity in search of better prices and higher fill rates. After checking the Direct Edge book, a series of Immediate or Cancel (IOC) orders are sent to these alternative markets for an execution at the limit price or better. Any unfilled orders can be sent back to the smart router, and is eligible to hit the National Best Bid and Offer (NBBO) at one of the displayed markets.
In addition to the current sequential routing functionality, the CLC also has simultaneous routing functionality. This has been effective for EDGA since June 25, 2012 and for EDGX since July 2, 2012.
MPM is an order type that will only execute at the exact midpoint of the NBBO allowing at minimum a half cent price improvement on all executions priced above $1. These orders remain hidden on the book and are eligible to trade against the hundreds of millions of shares - both displayed and non-displayed - that EDGX handles on a daily basis. This combination not only improves fill rates but keeps market impact low.
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