44 • Orders 1 and 2 sends a Firmed up response for full Buy volume, market instruction = “01” and cancel residual volume • Order 3 sends a Firmed up response for full sell volume, market instruction = “01” 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 14.4.2 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 • Order 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
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