IEX Improves Protection against Adverse Price Moves

IEX Exchange has updated the Signal, its predictive model that targets adverse price changes, to include new US equities exchanges as well as adapting to increased volatility, volumes and retail trading. Ronan Ryan, co-founder and president of IEX Exchange, said in a story in Markets Media that the goal of introducing the Signal was to essentially predict which way the market will move in order to protect customers from trading at a price that will imminently become stale. “Version 6 is even more accurate and allows us to effectively cover 60% more adverse moves in the BBO (Best-Bid-Offer), which is pretty remarkable,” he added. The Signal, also known as the crumbling quote indicator, had previously been updated five times since IEX launched, with the last update introduced in May 2018. Stan Feldman, chief operating officer at IEX Exchange, told Markets Media that version 6 of the Signal incorporates three additional exchanges – MEMX, MIAX and Nasdaq PSX. He stressed that another important change is that, for the first time, IEX is not just looking at the number of venues, but at the actual size of orders resting at those venues which allows the identification of when markets are likely to change to happen more often.