Pegged orders

A pegged order is an order that tracks a reference price instead of having a fixed price. The order may be pegged to one of:

• the best bid;
• the best ask;
• the midpoint of the bid/ask spread.

The price of the pegged order (the 'peg price') will track the reference price as it moves. Repricing of the order is automatic. Participants are not notified of updates to the prices of pegged orders.

If pegged to either the best bid or ask, a price offset may also be used to move the order towards the midpoint of the bid/ask spread.

Pegged orders are not displayed in the order book.

Submission

A pegged order is submitted by setting the order's OrderType to Peg and setting the PegRef (and optionally PegOffset) fields.

PegRef

The PegRef field sets the reference price that the order will track. It must be one of:

• Bid - to track the best (visible) buy price in the order book
• Mid - to track the midpoint of the bid/ask spread
• Ask - to track the best (visible) sell price in the order book

If the PegRef is one of Bid or Ask, the PegOffset field may also be used.

PegOffset

For orders that track the best bid or ask, a price offset may be specified using the PegOffset field. The offset is an amount relative to the reference price at which the order rests.

For an order that tracks the best bid (a 'bid peg'), the offset must be zero or positive (in order to track ahead of the best bid). For an order that tracks the best ask (an 'offer peg'), the offset must be zero or negative.

Price

Except for midpoint pegs, a limit price may be specified which the peg price will not exceed. It is an additional limit that overrides the collar bounds. When the limit price is active, the order still remains active.

MinimumFill

A Minimum Fill Quantity (MFQ) may be entered, such that the pegged order will only match if at least this quantity will match in one trade. The MFQ is preserved after partial filling and if the remaining balance falls below the MFQ, the MFQ is reset to the remaining balance.

Price collar

The peg price will be constrained by a collar that is from the mid-price to the best visible price on the same side as the peg order. This is illustrated in the following table.

Execution

A pegged order participates in the normal matching process as if it was a limit order at its current effective peg price.

A midpoint peg may execute at an intra-tick price. The midpoint price is calculated to 1/10th of the effective tick size. This provides the opportunity for price improvement over other pegged and non-pegged orders.

Priority

At any given price level, orders will be executed with the following priority:

1. Visible orders (oldest first)
2. Mid-point pegged orders
3. Other pegged orders
4. Other hidden orders

In auctions

Pegged orders do not participate in auctions.