Market Order/Limit Order Drill-Through

Default Drill-Through Protections are 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.

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 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 one second.

Eligible complex orders may initiate a COA throughout the iterative process.

Exchange defaults are 5% through the contra side of the SNBBO. The price cap level will be no larger than $0.25 through the contra-side SNBBO and no smaller than $0.02 through the contra-side SNBBO. For complex SPX/SPXW, the price cap level will be no larger than $2.00 through the contra-side SNBBO (C1 Only).

Customers can optionally set more or less restrictive Drill-Through Protections on individual orders using DrillThruProtection on the New Order Multileg message.