Router Functionality
The app Router sends orders to the app Exchange Order Book to check for available shares in a way designed to minimize market impact, before sending any remainder to destinations on the System routing table, which may include the app Exchange Order Book. If shares remain unexecuted after routing, they are posted on the Order Book or canceled, in accordance with User instruction. Once posted on the Order Book, the unexecuted portion of such order is eligible for the re-sweep behavior.
If the limit price of a resting routable order is crossed or locked by one or more Protected Quotations, the app Router removes all or a portion of the order from the app Exchange Order Book, respectively, and routes to the Protected Quotation(s).
app Check with Minimal Market Impact
The app Router “checks” app Exchange by routing the entire order with either an FOK (“Fill-or-Kill”) or IOC (“Immediate-or-Cancel”) time-in-force to the app Exchange Order Book. Depending on the size of the order and the cumulative shares from Protected Quotations at the NBBO (“PBBO”), the app Router will choose one of the techniques below to minimize market impact (i.e., liquidity fade) from any fills received on the app Exchange Order Book.
Undersized Order
If the routable order size is substantially smaller than the cumulative shares at the PBBO, the app Router checks the app Exchange Order Book to the PBBO with a standard IOC (no minimum quantity condition) because the risk of missing shares due to liquidity fade is low.
All Other Orders
If the order is not undersized, the app Router checks the app Exchange Order Book to the PBBO using an FOK order (i.e., minimum quantity equal to order size), meaning the order must be completely filled or no execution occurs, so as to avoid information leakage that could occur in the case of partial execution.