32 An incoming order (Order 006) to sell 1,500 shares@ $9.90 is entered, the following trades occur: BUYER ORDER # Seller Order # Quantity Price 001 006 1,000 10.00 003 006 500 9.90 005 006 1,000 9.80 The incoming order trades with all visible orders at various price levels in the book. The 2nd trade at 9.90 sets the LSP, which triggers the on stop, however the visible order (Order 005) has priority of fill before the on-stop order because it was previously displayed. Resulting CLOB: BID OFFER Order # Quantity Price Price Quantity Order # 004 On-Stop (disclosed) 1,000 9.90 10.20 1,000 002 4.7 Iceberg Orders An Iceberg order replenishes the displayed order size as executions are received. Only the disclosed portion of the order has priority at the given price level. Users have the option to have the displayed volume refresh to randomly selected sizes by specifying a +/- volume range (DisplayRange) which, when applied to their displayed quantity will establish the ceiling/floor for randomization of the refreshed display size. When an Iceberg order with a DisplayRange is first entered, or it is refreshed, it will be assigned a random Display Quantity that is in the range of [MaxFloor – DisplayRange or MaxFloor + DisplayRange] inclusive. For example, an Iceberg order with MaxFloor = 1000 and DisplayRange = 200 originally books with DisplayVolume = 900 [random value between 800-1,200]. The total size of an Iceberg order may be either board lot or mixed lot sized. The disclosed size of an Iceberg order must be a multiple of a board lot, with a minimum display of 1 board lot. If the disclosed volume of an iceberg order becomes an odd lot due to board lot changes overnight, then the order is purged overnight. The odd lot portion of a mixed lot iceberg will only become visible and trade once the board lot portion has been completely exhausted. When an incoming order trades with a booked Iceberg order for a quantity larger than the disclosed size, one trade will be generated for both the tradable disclosed volume and undisclosed volume. Both the total size and the disclosed size of icebergs may be amended (CFO’ed). However, when the disclosed quantity is amended, the new disclosed size becomes effective only after the next re-load of the iceberg’s undisclosed volume.
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