28 14. Appendix A: Scenarios 14.1 DRK Trading Scenarios 14.1.1 Pricing Sell-Side Dark Market Orders (With $0.25 Tick Limit) Calculating the price of a dark market sell order entered into the book, using a $0.25 bid/ask tick limit. The order interacts with several contra-side orders and rests in the book at the determined limit. NBBO: (1.50, 1.51) Bid/Ask Limit: (0.25)* *Bid/Ask limits may be found under section 6.2.3 in the Order Types and Functionality Guide ID Order Type Volume Bid Offer Volume Order Type ID A Limit Midpoint Peg 100 1.505 1.51 1000 Displayed Limit D B Displayed Limit 500 1.50 C Displayed Limit 1000 1.24 Action: Order E, Dark Market Sell of 1000 @ MKT is entered. Cap Price = NBB - Bid/Ask Tick Limit = 1.50 - 0.25 = 1.25 Executable Price = Maximum (NBB, Cap Price) = MAX(1.50,1.25) = 1.50 Result: Order E is assigned a limit price of 1.25 and an executable price of 1.50. Order E interacts with Order A and fills partially at 1.505. Order E interacts with Order B and fills partially at 1.50. Order E does not execute with Order C, as the price would violate the bid/ask cap limit, and it is booked with a price of 1.25 (refer to booked price calculation). Updated Book NBBO: (1.24, 1.51) Bid/Ask Limit: (0.25) ID Order Type Volume Bid Offer Volume Order Type ID A Midpoint Peg 100 1.505 1.25 400 Dark Market E B Displayed Limit 100 1.50 1.51 1000 Displayed Limit D C Displayed Limit 1000 1.24
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