IEX Adds Imbalance Alert to Help Traders Avoid Price Surprises
Published Date: 6/27/2025
Notice
Summary
Investors Exchange (IEX) is adding a new tool called a Quote Imbalance Indicator to help traders spot when buy and sell orders are uneven. This change lets traders use special orders that won’t change price during these times, making trading smoother and smarter. The rule is effective immediately, so traders can start using it right away with no extra costs.
Analyzed Economic Effects
4 provisions identified: 1 benefits, 1 costs, 2 mixed.
New Quote Imbalance Indicator Option
If you are an IEX trading Member or Sponsored Participant who uses D-Peg or P-Peg orders, you can now choose a new Quote Imbalance Indicator (QII) or continue to use the existing Crumbling Quote Indicator (CQI). The QII, when it turns "on," keeps pegged D-Peg and P-Peg orders from exercising price discretion (they remain pegged one minimum price variant less aggressive than the primary quote or at their limit price) and the QII turns on for an average of 396.6 milliseconds each time and about 2.5 hours total per trading day.
Trade-Off: More Coverage, Better Markouts
IEX reports that under January 2–March 21, 2025 data the QII would have had approximately 58% coverage of adverse Protected NBBO changes versus 47% for the CQI (about 25% more coverage). Using the QII would have restricted additional D-Peg and P-Peg volume but improved markouts for orders that did execute by about 7.9% of spread and 11.2% of spread as measured at one second.
QII Is Optional and Non-Burdensome
The QII is an optional indicator that Users may elect when submitting D-Peg and P-Peg orders; IEX states the QII would apply equally to all Users and would not impose new burdens on Users. All Users eligible to use D-Peg and P-Peg orders are eligible to select the QII.
C-Peg and D-Limit Remain on CQI Only
If you use C-Peg or D-Limit order types, the Exchange is not adding QII to those order types; they will continue to use only the existing CQI for quote instability determinations.
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