{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T20:45:14Z","timestamp":1786740314353,"version":"build-2736575974"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":9,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Purpose. This study examines whether the documented protective behaviour of IEX hidden-liquidity order types-specifically the Discretionary Peg, which restricts midpoint discretion when the IEX Crumbling Quote Indicator (CQI) fires-leaves a measurable footprint in the publicly observable trade tape. The exercise is conducted entirely with free public IEX DEEP data, with no consolidated quote feed or proprietary identifiers required. Originality\/value. This is the first study to recover the trade-tape signature of IEX's Crumbling Quote Indicator from public DEEP data alone. The exercise demonstrates that exchange-level protective machinery has identifiable consequences for publicly observable execution patterns, and that researchers without consolidated-feed budgets can still produce informative empirical work on speed-bump-and-signal architectures. The methodology generalises to any exchange operating documented public-feed protocols.<\/jats:p>","DOI":"10.2139\/ssrn.6645799","type":"posted-content","created":{"date-parts":[[2026,4,25]],"date-time":"2026-04-25T08:43:32Z","timestamp":1777106612000},"source":"Crossref","is-referenced-by-count":0,"title":["Intra-spread executions on IEX during proxy crumbling-quote moments: evidence from public DEEP data"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8477-9393","authenticated-orcid":true,"given":"Boon Chuan","family":"Lim","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","article-title":"Intentional access delays, market quality, and price discovery: Evidence from IEX becoming an exchange","author":"E Hu","year":"2019","journal-title":"U.S. Securities and Exchange Commission DERA"},{"key":"ref2","article-title":"Introducing DEEP, the IEX Depth of Book and Last Sale Feed","author":"Iex Group","year":"2017","journal-title":"Trading Alert #2017-011"},{"key":"ref3","author":"Iex Group","year":"2021","journal-title":"IEX DEEP Specification version 1.08"},{"key":"ref4","author":"Iex Group","year":"2023","journal-title":"The Newest Update to IEX Exchange's Crumbling Quote Indicator, the Signal"},{"key":"ref5","article-title":"Breaking Down M-Peg and D-Peg","author":"Iex Group","year":"2025","journal-title":"IEX Square Edge research note"},{"key":"ref6","author":"B Liu","year":"2025","journal-title":"Speed bump and stock market quality: Evidence from NYSE American"},{"key":"ref7","article-title":"Leveling the Playing Field for Lit Trading","author":"E Stockland","year":"2019","journal-title":"IEX Boxes + Lines (Medium)"},{"key":"ref8","year":"2016","journal-title":"Findings, opinion, and order approving Investors Exchange LLC Form 1 application"},{"key":"ref9","first-page":"34","year":"2020","journal-title":"Order approving IEX Rule 11.190(g) -D-Limit order type and Crumbling Quote Indicator"}],"container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T20:03:34Z","timestamp":1786737814000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6645799"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":9,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6645799","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}