31 Action: Order E, Dark Limit Buy of 1000 @ MKT is entered. Cap Price = NBO + Bid/Ask Tick Limit = 120.52 + 5.00 = 125.52 Executable Price = Minimum (NBO,Cap Price) = MIN(120.52,125.52) = 120.52 Result: Order E is assigned a limit price of 125.52 and an executable price of 120.52. Order E interacts with Order B, filling partially 100 shares at 120.52. Order E then interacts with Order C, filling partially 500 shares at 120.53. Order E 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 125.52. Updated Book NBBO: (120.50, 125.53) Bid/Ask Limit: (5.00) ID Order Type Volume Bid Offer Volume Order Type ID E Dark Market 400 125.52 120.52 100 Dark Limit B A Displayed Limit 1000 120.50 120.53 500 Displayed Limit C 125.53 1000 Displayed Limit D 14.1.5 Pricing Primary Peg Sell-Side Order Calculating the limit and executable price for a Primary Peg sell order entered into the book. The order does not interact with contra-side orders and rests in the book at the determined limit price. Calculating the limit and executable price of a primary peg sell order entered into the book. NBBO: (10.01, 10.02) ID Order Type Volume Bid Offer Volume Order Type ID A Displayed Limit 1000 10.01 10.02 1000 Displayed Limit B Action: Order C, Dark Sell Primary Peg of 500 @ 10.01 is entered. Result: Order C is assigned a limit and executable price of 10.02. Updated Book NBBO: (10.01, 10.02) ID Order Type Volume Bid Offer Volume Order Type ID A Displayed Limit 1000 10.01 10.02 1000 Displayed Limit B 10.02 500 Primary Peg C
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