37 Updated Book NBBO: (10.00, 10.03) 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 Executable Price = Maximum (NBB, Cap Price) = MAX(10.00,9.50) = 10.00 Result: Order D is assigned a limit of 9.50 and executable price of 10.04. Order D rests in the book at its executable price of 10.04. Updated Book 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 10.04 500 Market Peg, -3 D B Displayed Limit 1000 10.00 10.06 1000 Displayed Limit C 14.2 CMO+ and PDL Scenarios 14.2.1CMO+ order bypassing non-CMO+ orders to trade against another resting CMO+ order
RkJQdWJsaXNoZXIy MjgzMzQ=