42 Resulting Order Book Order Broker Volume Side Resulting trades 1 A 40,000 Buy Order 1 is partially filled for 33,300 shares. 2 B 50,000 Buy Order 2 is partially filled for 41,700 shares. 3 C 75,000 Sell Order 3 is fully filled for 75,000 shares. Orders 1 and 2 residual untraded volumes are cancelled back to Brokers because their market instruction = “01”. Calculation for pro-rata allocation (being [Individual orders/total buy volume] x total sell volume) Total Buy Volume = 90,000 Total Sell Volume= 75,000 Order 1 [40,000 shares / 90,000] x 75,000 = 33,300 shares. Order 2 [50,000 shares / 90,000] x 75,000= 41,700 shares. Order 3 is fully filled for 75,000 shares Partial fills are rounded to the nearest board lot 14.3.2 Remaining volume from Firm-up trade sweeps the dark book Conditional Order Book Order Broker Volume Side Invitation? 1 A 40,000 Buy Yes 2 B 50,000 Buy Yes 3 C 75,000 Sell Yes Firm up orders from client Orders 1 and 2 are eligible for an Invitation to Firm up and Buy Order 3 is eligible for an Invitation to Firm up and Sell. Resulting Order Book Order Broker Volume Side Market Instruction on the Firm-up order 1 A 40,000 Buy 02 2 B 50,000 Buy 01 3 C 75,000 Sell 01 4 D 10,000 Sell Dark book mid-point order is available for allocation Order 1 (Market Instruction=”02”) indicates the remaining volume to sweep the dark book. Order 2 (Market Instruction =”01”) residual untraded volumes are cancelled back to Broker.
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