Drill-Through Protection for Simple Orders

Each simple limit order will be assigned a drill-through price that allows simple orders to be executed up to an initial capped price through the contra side NBBO at time of order entry. For information on how this drill-through behavior is leveraged within a separate protection feature, see Wide Market Protection.

The drill-through mechanism will then repeatedly post the order at a more aggressive price. If the order reaches its limit price at any time during the iterative drill-through process, the order will remain at its limit price and the drill-through protection mechanism will not continue. The preset duration is 200 ms for C1 Proprietary Index Products and 1 second for all other products on BZX, C1, C2, and EDGX. Effective 08/24/26, the preset duration will be 100 ms for all products on all Exchanges.

Adjustments that would lock or invert an away displayed market will initiate a SUM auction.

Market orders submitted with a TimeInForce (FIX Tag 59) of Day along with elected stop orders are eligible for iterative drill-through price protection.

• Sell market orders will drill-through down to the minimum tick for the class where they will rest until cancelled or executed in full.
• Buy market orders will drill-through to the maximum allowable price for the class where they will rest until cancelled or executed in full.
• Market orders submitted with a TimeInForce of IOC will trade on arrival, capped at the first drill-through price level.

Separate stop and stop limit orders elected as a result of the same election trigger (NBBO update or last sale) will all use the same drill-through reference price. This may include orders with multiple stop prices if the election trigger covers multiple price levels. When multiple stop orders are elected as a result of the same election trigger, they are sequenced in time priority based on their order entry time.

• If an iterative drill-through protection is in progress, newly-elected stop and stop limit orders will join the current drill-through price. The newly-elected stop and stop limit orders will be prioritized behind orders already in drill-through.
• If no iterative drill-through is in progress, the initial drill-through reference price for stop and stop limit orders elected by the same market data event will be set to the contra side NBBO.

Triggered Market-On-Close and Limit-On-Close orders are handled the same as elected stop and stop limit orders with respect to drill-through reference price and priority.

• Existing market-width checks prevent market orders from executing if the bid/ask width is wider than a specified amount. This protection will be bypassed for triggered Market-On-Close orders and triggered stop orders.
• Existing Fat Finger limit price reasonability checks reject limit orders priced at an overly-aggressive level. Such protections will be bypassed for triggered Limit-On-Close orders and triggered stop limit orders.

The Drill-Through Price is calculated by taking the NBB or NBO and subtracting or adding, respectively, the Drill-Through Amount from the Drill-Through Price table. Calculated drill-through prices at an invalid pick increment for the class will be widened to the next valid tick.