34 ID Order Type Volume Bid Offer Volume Order Type ID A Displayed Limit 10000 10.00 10.00 5100 Primary Peg -5 C A Displayed Limit 4900 10.00 10.05 10000 Displayed Limit B 14.1.10 Pricing MPI Buy-Side Order Calculating the limit and executable price for a MPI Peg buy order, entered into the book with a two-tick spread. The order does not interact with contra-side orders and remains in the book at the determined limit price. NBBO = (10.00, 10.02) ID Order Type Volume Bid Offer Volume Order Type ID A Displayed Limit 1000 10.00 10.02 1000 Displayed Limit B Action: Order C, Dark Buy MPI Peg of 500 @ 10.04 is entered. Result: Order C is assigned a limit of 10.04 and executable price of 10.01. Updated Book NBBO: (10.00, 10.02) ID Order Type Volume Bid Offer Volume Order Type ID C MPI Peg 500 10.01 10.02 1000 Displayed Limit B A Displayed Limit 1000 10.00 14.1.11 Pricing MPI Sell-Side Order Calculating the limit and executable price for a MPI Peg sell order, entered into the book with a five-tick spread. The order does not interact with contra-side orders and remains in the book at the determined limit price. NBBO = (10.00, 10.05) ID Order Type Volume Bid Offer Volume Order Type ID A Displayed Limit 1000 10.00 10.05 1000 Displayed Limit B Action: Order C, Dark Sell MPI Peg of 500 @ 9.95 is entered. Result: Order C is assigned a limit of 9.95 and executable price of 10.04. Updated Book NBBO: (10.00, 10.05)
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