Enhanced Execution with Retail Priority

October 27, 2022

Cboe EDGX’s unique Retail Priority allocation model gives significant benefits to individual investors placing attested Retail Priority orders. All Retail Priority orders are identified on the EDGX PITCH feed to enhance execution quality for Retail Priority orders, improve transparency and to allow non-Retail Priority orders to ascertain their own queue position. As more individual investors turn to Retail Priority to execute their orders, Cboe’s Execution Consulting Team analyzed the continued value Retail Priority brings market participants and how investors can intelligently interact with this type of unique liquidity.

EDGX Composition

The composition of retail and non-retail flow on EDGX is illustrated in Figure 1 below. Retail-attested volume represents, on average, approximately 22% of EDGX’s total volume in 2022, of which, 14% was executed with Retail Priority. Since its launch, Retail Priority has continued to attract retail investors to EDGX, making it one of the largest retail orders books in the U.S.

Faster Fills with Retail Priority

Attested Retail Priority orders receive queue priority on EDGX, thereby enhancing execution quality and trading outcomes for individual investors. The amount of time it takes for a Retail Priority order to first get filled is an important metric that demonstrates the benefits of Retail Priority. In 2022, on average, Retail Priority orders reached first-fill in 0.5 seconds, 40% faster than the 0.9 seconds it took non-Retail Priority orders.

Accessing Retail Priority Orders

Retail orders account for a significant amount of volume on EDGX and provide a valuable source of liquidity for other market participants on the exchange. This includes brokers who represent institutional clients and are seeking to interact with attested retail orders.

When a Retail Priority order is added to the EDGX book, a message is sent on the EDGX Equities PITCH feed indicating the presence of a Retail Priority order. This message allows investors with orders already on the book to adjust their own queue priority accordingly, and also enables other participants to intelligently interact with retail liquidity.

For subscribers of the EDGX Equities PITCH feed, an ‘R’ in the Customer Indicator field within the Add Order message indicates a Retail Priority order. EDGX will populate the ParticipantID field with ‘RTAL’ for Retail Priority orders that are not attributed to the order’s MPID.

The ability to easily identify and trade against Retail Priority orders on the EDGX PITCH feed leads to best execution for marketable orders, and improves overall broker best execution procedures.

Most importantly, Retail Priority helps level the playing field for individual investors, enhancing the trading experience for all market participants -- both large and small -- in a fair and competitive marketplace.

Please reach out to our coverage team with questions and to learn how we can help you optimize your trading experience.