28 Additionally, MOO orders are also accepted during a trading halt, making them eligible to participate in the subsequent reopening auction. For these trades, the OpeningAuction tag is used to specify the auction type: • ‘O’: If the trade was executed during the initial Market on Open or an opening delayed auction. • ‘R’: If the trade occurred during a reopening auction triggered by a halt. An Opening Auction Notification Message is generated and disseminated in real-time to provide transparency into the auction process. This message is sent whenever there is a change in Paired Volume or Odd Lot Imbalance for a specified stock. This message is sent during pre-open hours and during any reopening auction triggered by a resumption in trading after a halt. The Opening Auction Notification Message contains the following information: 1. Paired Volume a. Symbol b. Calculated Opening Price c. Opening Paired Volume 2. Odd lot Imbalance a. Symbol b. Calculated Opening Price c. Opening Imbalance Side3 4.4 Limit Orders A limit priced order is an instruction to trade the order at prices currently established by the opposite side of the market so long as those prices are within range of the limit price defined by the trader. Any remaining portion of the limit order that is not immediately traded is either booked or cancelled (trader’s preference) at the limit price. Example: Limit Orders Assume the CLOB is as follows: BID OFFER Order # Quantity Price Price Quantity Order # 001 100 10.00 10.02 400 003 002 100 9.99 10.02 100 004 If an incoming sell order # 005 for 500 shares with a Limit Price of $10.00 is entered, then the following trades occur: BUYER ORDER # Seller Order # Quantity Price 001 005 100 10.00 3. Odd Lot Imbalance notifications are only sent for symbols with a COP and Registered Trader (RT) or Odd Lot dealer.
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