Wide Market Protection (C1 only)
Wide market protection (WMP) initiates a pause on inbound orders and elected stop/stop limit orders when the NBBO is deemed "wide" based on pre-established parameters. Specifically, the NBBO is considered wide if there is no NBO or if the bid/ask spread is wider than the WMP Determinant based on the NBB (Bid Price) in the table below. Inbound limit orders and triggered stop limit orders are subject to WMP if the NBBO is deemed to be wide and their price is marketable.
Orders subject to WMP will begin a drill-through process per Drill-Through Protection (above) using an initial drill-through display price as determined by WMP benchmark pricing. If a drill-through is in progress, the orders will join that process. WMP will not be initiated within 30 seconds prior to the close of the RTH or Curb trading sessions; however, any current drill-through processing will continue. Effective 08/24/26, WMP will be initiated up until the close of the RTH or Curb trading sessions and any current drill-through processing will continue.
WMP is applied to all proprietary index products.
WMP Benchmark Price Determinations
- Last trade price, if more aggressive than or equal to the same-side NBBO
- NBBO midpoint
- Same-side NBB/NBO +/- the NBBO Adjustment Amount (NAA), as follows:
- Buy orders: NBB + NAA
- Sell orders: NBO - NAA
- If there is no NBO, sell orders use NBB + WMP Determinant
| NBB Price | WMP Determinant | NBBO Adjustment Amount (NAA) |
|---|---|---|
| ≤ $3.00 | ≥ $1.50 | $0.75 |
| $3.01-$5.00 | ≥ $2.00 | $1.00 |
| $5.01-$10.00 | ≥ $2.50 | $1.30 |
| $10.01-$20.00 | ≥ $4.00 | $2.00 |
| $20.01-$50.00 | ≥ $5.00 | $2.50 |
| $50.01-$100.00 | ≥ $10.00 | $4.50 |
| $100.01 - $200.00 | ≥ $23.00 | $6.00 |
| $200.01+ | ≥ $36.00 | $6.00 |
Subsequent Drill-through Pricing
If the market is wide and the order has been paused at the benchmark price, the order will be handled by iterative drill-through logic. The order paused at its benchmark price will be considered the initial drill-through iteration, and subsequent iterations will use existing drill-through logic. Note that drill-through amounts and timers may be modified.
Following the current drill through logic, new incoming market and limit orders will join the protected order(s) at the current drill-through price. All existing drill-through logic for handling the priority of orders in a bundle will be applied. Market-Maker quotes, Immediate or Cancel (IOC) orders, and Intermarket Sweep Orders (ISO) will bypass drill-through protection and can book or trade ahead of the drill-through bundle. If an away market or Market-Maker quote (but not an order) is displayed more aggressively than the drill-through price, the drill-through bundle will move to that price.
To mitigate risk of orders being un-executed towards the end of a trading day, WMP will be bypassed starting at a configurable amount of time prior to the close of the RTH and Curb sessions for the series. Note this timer does not apply to Global Trading Hours (GTH).
During the end of session timeframe:
WMP will be disabled. If no drill-through is in-progress, new non-marketable limit orders will simply book, and marketable limits and market orders will execute and be eligible to initiate drill-through after their initial execution.
Post-execution drill-through will continue to remain active and enabled. Any drill-through in progress will continue as normal. This includes drill-through which was previously initiated by WMP. At the end of the timer and the RTH session, any RTH-only orders will be cancelled, and any drill-through that is in progress will continue for orders eligible for the Curb session. This follows existing drill-through functionality. WMP will be reactivated at the start of the Curb session and will function the same as it does in RTH.
Inbound orders and newly elected stop and stop limit orders will continue to join drill-through in progress.