36 Updated Book NBBO: (10.00, 10.01) ID Order Type Volume Bid Offer Volume Order Type ID D Market Peg 400 10.005 10.005 100 Midpoint Peg B A Displayed Limit 1000 10.00 10.01 1000 Displayed Limit C 14.1.15 Pricing Market Peg Sell-Side Order Calculating the limit and executable price for a Market Peg sell order, entered into the book with a three-tick spread. The order interacts with a contra-side order and remains in the book at the determined limit price. NBBO = (10.00, 10.03) ID Order Type Volume Bid Offer Volume Order Type ID A Dark Limit 100 10.02 10.03 1000 Displayed Limit C B Displayed Limit 1000 10.00 Action: Order D, Dark Sell Market Peg of 500 @ 10.00 is entered. Result: Order D is assigned a limit of 10.00 and executable price of 10.02. Order D then interacts with Order A, filling partially at 10.02. Order D rests in the book at its executable price of 10.02. Updated Book NBBO: (23.50, 23.53) ID Order Type Volume Bid Offer Volume Order Type ID A Dark Limit 100 10.02 10.02 400 Market Peg D B Displayed Limit 1000 10.00 10.03 1000 Displayed Limit C 14.1.16 Pricing Passive Market Peg Sell-Side Order Calculating the limit and executable price for a passive Market Peg sell order, entered into the book with a six-tick spread. The order does not interact with contra-side orders and remains in the book at the determined limit price. NBBO = (10.00, 10.06) Bid/Ask Limit: (0.50) ID Order Type Volume Bid Offer Volume Order Type ID A Dark Limit 200 10.01 10.06 1000 Displayed Limit C B Displayed Limit 1000 10.00 Action: Order D, Dark Sell Market Peg of 500 @ MKT, -3 offset is entered. Cap Price = NBB - Bid/Ask Tick Limit = 10.00 - 0.50 = 9.50
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