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How LEAD℠ / LMM Works1

Liquidity Enhancing Access Delay℠ (LEAD) imposes an intentional delay (speed bump) of 350 microseconds on certain messages during open trading.

  • Undelayed Messages
    • New orders submitted by a LEAD Market Maker (LMM) acting in that capacity in an LMM trading account which would not immediately take liquidity from the CHX limit order book.
    • Requests to cancel orders submitted by an LMM acting in that capacity in an LMM trading account.
    • The cancel portion of a cancel/replace order submitted by a LMM acting in that capacity in an LMM trading account. The replacement order will not be delayed unless it would immediately take liquidity from the CHX limit order book in which case the cancel portion would be processed without delay and the replacement portion will be delayed.
    • Any message arriving during a SNAP℠ Auction.
  • Delayed Messages
    • All other messages are intentionally delayed 350-microseconds.

CHX does not delay that portion of an inbound order which would be routed away to another marketplace prior to interacting with the CHX limit order book.  When a portion of an order is routed away, any remaining unrouted portion of that order will be handled as described above.

When a message is received by the CHX Matching System after being intentionally delayed, any portion of that order which is placed in the CHX limit order book is inserted into the book based on the sequence in which it and other resting orders at the same price initially arrived at the CHX Matching System.

Steven I. Givot
Senior Vice President – Strategy and Product Management
312.663.2261

or

A. J. Kim
Vice President – Associate General Counsel
312.663.2484

1. The information presented on this website is for promotional purposes only.  Please read all applicable CHX Rules and official information prior to using this product.