45 Resulting Order Book Order Broker Volume Side Market Instruction 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. Resulting Order Book Order Broker Volume Side Resulting trades 1 A 40,000 Buy Order 1 trades with Order 3 for 33,300 shares. Remainder volume trades with Order 4 for 6,700 shares. 2 B 50,000 Buy Order 2 trades with Order 3 for 41,700 shares. Remaining volume are cancelled back. 3 C 75,000 Sell Order 3 is fully filled for 75,000 shares with order 1 and 2. 4 D 10,000 Sell Order 4 is partially filled for 6,700 shares with order 1. Remaining volume booked. • Pro-rata allocation: [Individual order’s volume/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 Full fill for 75,000 shares with order 1 and 2 • Order 4 Partial fill for 6,700 shares with order 1
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