Virtu Americas LLC has agreed to pay a fine of $19,200 as a part of a settlement with The Nasdaq Stock Market LLC.

In October 2019, Virtu implemented a new trading strategy that involved routing DAY Intermarket Sweep Orders (ISOs). Virtu failed to configure the pricing logic of that strategy to prevent the DAY ISOs from locking protected quotations.

Instead, the strategy incorrectly applied trade-through pricing logic typically used for immediate-or-cancel (IOC) ISOs and failed to route simultaneous ISOs (or any simultaneous orders) to remove locked protected quotations.

This misconfiguration prevented Virtu from seeing other offers (public bids) when it transmitted DAY ISOs to the exchanges. As a result, 1,461 of the DAY ISOs Virtu transmitted to Nasdaq locked protected quotations at the same price during the period from October 10, 2019 through April 23, 2020.

On April 23, 2020, Virtu corrected its configuration error by adding logic to the underlying strategy code that sent correct limit orders with its ISOs, dependent on whether the ISO was an IOC ISO or a DAY ISO.

Accordingly, Virtu violated Nasdaq Rule 4613(e)(2)(B) between October 10, 2019 and April 23, 2020.

The firm has agreed to a censure and a $19,200 fine (resolved simultaneously with similar matters for a total fine of $200,000). Those matters were brought by FINRA, Cboe BYX Exchange, Inc.; Cboe BZX Exchange, Inc.; Cboe EDGA Exchange, Inc; Cboe EDGX Exchange, Inc.; New York Stock Exchange LLC; NYSE Arca, Inc.; and NYSE National, Inc.