Market/Limit Order Drill-Through for Complex Orders

Default Drill-Through Protections will be applied to all complex limit and market orders that will cap the price of the order relative to the SNBBO at the time of order entry. Exchange defaults are 5% through the contra-side of the SNBBO. For orders other than SPX/SPXW, the price cap level will be no larger than $0.25 through the contra-side SNBBO. For SPX/SPXW, the price cap level will be no larger than $2.00 through the contra-side SNBBO. The price cap level will be no smaller than $0.02 through the contra-side SNBBO for all orders.

For complex orders not specifying a drill-through override with DrillThruProtection (FIX 6253), the drill-through mechanism will repeatedly post the order at a more aggressive price. If an 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.

Sell market orders will drill through 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.

Customers can optionally set more or less restrictive Drill-Through Protections on individual orders using DrillThruProtection on the New Order Multileg message. Eligible complex orders may also initiate a COA throughout the iterative process.