29 14.1.2 Pricing Buy-Side Dark Market Orders (With $0.50 Tick Limit) Calculating the price of a Dark Market buy order entered into the book, using a $0.50 bid/ask tick limit. The order interacts with several contra-side orders and rests in the book at the determined limit. NBBO: (10.00, 10.03) Bid/Ask Limit: (0.50) ID Order Type Volume Bid Offer Volume Order Type ID A Displayed Limit 1000 10.00 10.01 100 Dark Limit B 10.03 500 Displayed Limit C 10.54 1000 Displayed Limit D Action: Order E, Dark Market Buy of 1000 @ MKT is entered. Cap Price = NBO + Bid/Ask Tick Limit = 10.03 + 0.50 = 10.53 Executable Price = Minimum (NBO,Cap Price) = MIN(10.03,10.53) = 10.03 Result: Order E is assigned a limit price of 10.53 and an executable price of 10.03. Order E interacts with Order B, filling partially at 10.01. Order E then interacts with Order C, filling partially at 10.03. 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 10.53 (refer to booked price calculation). Updated Book NBBO: (10.00, 10.54) Bid/Ask Limit: (0.50) ID Order Type Volume Bid Offer Volume Order Type ID E Dark Limit 400 10.53 10.01 100 Dark Limit B A Displayed Limit 1000 10.00 10.03 100 Displayed Limit C 10.54 100 Displayed Limit D 14.1.3 Pricing Sell-Side Dark Market Orders (With $1.00 Tick Limit) Calculating the price of a Dark Market sell order entered into the book, using a $1.00 bid/ask tick limit. The order interacts with a few contra-side orders and rests in the book at the determined limit. NBBO: (75.00, 75.01) Bid/Ask Limit: (1.00)
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