30 14.1.3Pricing 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) ID Order Type Volume Bid Offer Volume Order Type ID A Midpoint Peg 100 75.005 75.01 100 Displayed Limit E B Displayed Limit 500 75.00 C Displayed Limit 1000 74.05 D Displayed Limit 2000 73.99 Action: Order F, Dark Limit Sell of 2000 @ MKT is entered. Cap Price = NBB - Bid/Ask Limit = 75.00 - 1.00 = 74.00 Executable Price = Maximum (NBB,Cap Price) = MAX(75.00,74.00) = 75.00 Result: Order F is assigned a limit price of 74.00 and an executable price of 75.00. Order F interacts with Order A, filling partially 100 shares at 75.005. Order F then interacts with Order B, filling partially 500 shares at 75.00. Order F interacts with Order C, filling partially 1000 shares at 74.05. Order F does not execute with Order D, as doing so would violate the bid/ask cap limit. Consequently, it is booked at its assigned price of 74.00. Updated Book NBBO: (73.99, 75.01 Bid/Ask Limit: (1.00) ID Order Type Volume Bid Offer Volume Order Type ID A Midpoint Peg 100 75.005 74.00 400 Dark Market F B Displayed Limit 500 75.00 75.01 500 Displayed Limit E C Displayed Limit 1000 74.05 D Displayed Limit 2000 73.99
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