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On nasdaq, their pegged orders do not operate inside the exchange matching engine as you would expect.. they have some undocumented method that does not gaurantee fifo order is conserved when the order stack moves from one level to another, the re-reinsertion is random at best and they are secrely letting other people jump the queue at worst. IEX does ...


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The calculation is described in the IEX Rule Book, section 11.160 (g). See Quote Instability Factor (QFI) and the accompanying thresholds: $$ QIF = \frac{1}{1+e^{-x}}$$ where $$x = C_0 + C_1N + C_2F + C_3NC + C_4FC + C_5EPos+C_6ENeg+C_7 EPosPrev+C_8ENegPrev + C_9Delta$$ The coefficients $C_n$ are hard-coded and are updated once in a while with a ...


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