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A Repo instrument can be eligible for All-Or-None (AON) orders. An AON order:

  • must be executed in its entirety or not at all
  • can only match with another AON order of the same price and total order quantity
  • has a separate order book and Security ID from that of the non-AON version of the instrument.

For purposes of this explanation, the non-AON instrument is considered the "parent" of the AON instrument.

A Repo AON-eligible instrument is identified in the Security Definition (tag 35-MsgType=d) message by tag 872=InstAttribValue bit 23=1 (All or None instrument).

Market By Price (MBP) and Market by Order Limited Depth (MBOLD) order books for the AON instrument will be separate from the parent Repo instrument.

For related AON and parent instruments, the counterpart instrument is identified in the Security Definition message repeating group tag 1650-RelatedSecurityID

All trade statistics are separate for the parent instrument and the related AON market except VWAP, which combines the AON and parent markets.

Separate VWAPs are not disseminated for AON instruments. AON Trades are included in the VWAP for the parent Repo instrument.

All-Or-None Processing Examples

The examples below illustrate AON processing.

For simplicity, only Market By Order Limited Depth (MBOLD) books are used in examples below, however, Market by Price (MBP) books are also sent on the Conflated Market Data feed.

For more information on conflation processing see Conflated Market Data Processing.

Example 1 - AON Order Entered

This example shows a new AON limit bid order accepted and added to the second level of the book. 

Starting MBOLD Book - AON Instrument 

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

82542063251.90711.9065107833653
816020317101.912



Starting MBOLD Book - Related Parent Instrument 

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

723766557151.90811.9065107833653
752889887101.90821.90525180625970
716967992201.913



New AON Order Entered 

A new AON order is entered to bid 20 @ 1.907. A Snapshot (tag 35-MsgType=W) book update is generated:

MBOLD Snapshot (35=W) AON Book Update

Tag Number

FIX Name

Value

Description

48

SecurityID

12345

A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

268

NoMDEntries

4
Data Block 1 - Bid
37OrderID632Order ID
37707MDOrderPriority825420Order priority for execution on the order book

270

MDEntryPx

1.907

Order price of the Market Data Entry

37706MDDisplayQty5Visible Order Qty
269MDEntryType0Bid - Market Data entry type
Data Block 2 - Ask
37OrderID107Order ID
37707MDOrderPriority833653Order priority for execution on the order book

270

MDEntryPx

1.906

Order price of the Market Data Entry

37706MDDisplayQty5Visible Order Qty
→269MDEntryType1Ask - Market Data entry type
Data Block 3 - Bid (Newly Added)
37OrderID709Order ID
37707MDOrderPriority895224Order priority for execution on the order book

270

MDEntryPx

1.907

Order price of the Market Data Entry

37706MDDisplayQty20Visible Order Qty
→269MDEntryType0Bid - Market Data entry type
Data Block 4 - Bid
37OrderID317Order ID
37707MDOrderPriority816020Order priority for execution on the order book

270

MDEntryPx

1.91

Order price of the Market Data Entry

37706MDDisplayQty5Visible Order Qty
269MDEntryType0Bid - Market Data entry type


Resulting MBOLD Book - AON Instrument

The AON book is updated with the new order.

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

82542063251.90711.9065107833653
895224709201.9072



816020317101.913



Resulting MBOLD Book - Related Parent Instrument

The related instrument is not updated.  

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

723766557151.90811.9065107833653
752889887101.90821.90525180625970
716967992201.913



Example 2 - AON Trade

This example shows a new AON limit ask order with a price of 1.907 and an order quantity of 15 that results in a trade. The AON aggressor order trades with the 2nd highest priority bid order due to the price and quantity matching.

Starting MBOLD Book - AON Instrument

The AON book is updated with the new order.

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

82542063251.90711.9065107833653
895224709201.9072



816020317101.913



Starting MBOLD Book - Related Parent Instrument

The related parent instrument is not updated.  

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

723766557151.90811.9065107833653
752889887101.90821.90525180625970
716967992201.913




New AON Order Entered 

A new AON order is entered to ask 20 @ 1.907. A Trade (35=X) and Snapshot (tag 35-MsgType=W) book update is generated:

AON Trade (35=X) Update

Tag Number

Tag Name

Value

Description

→279

MDUpdateAction

0

0 = new. Type of Market Data update action.

→269

MDEntryType

2

2 = trade. Type of Market Data entry.

→48

SecurityID

12345

Unique instrument ID as qualified by the exchange.

→270

MDEntryPx

1.907

Price of the Market Data Entry.

→271MDEntrySize20Aggregated trade quantity for the instrument at the price level represented by the Trade Summary entry.
→5797AggressorSide

2

0=No aggressor

1=Buy

2=Sell

MBOLD Snapshot (35=W) AON Book Update

Tag Number

FIX Name

Value

Description

48

SecurityID

12345

A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

268

NoMDEntries

4
Data Block 1 - Bid
37OrderID632Order ID
37707MDOrderPriority825420Order priority for execution on the order book

270

MDEntryPx

1.907

Order price of the Market Data Entry

37706MDDisplayQty5Visible Order Qty
269MDEntryType0Bid - Market Data entry type
Data Block 2 - Ask
37OrderID107Order ID
37707MDOrderPriority833653Order priority for execution on the order book

270

MDEntryPx

1.906

Order price of the Market Data Entry

37706MDDisplayQty5Visible Order Qty
269MDEntryType1Ask - Market Data entry type
Data Block 3 - Bid
37OrderID317Order ID
37707MDOrderPriority816020Order priority for execution on the order book

270

MDEntryPx

1.91

Order price of the Market Data Entry

37706MDDisplayQty5Visible Order Qty
269MDEntryType0Bid - Market Data entry type

Resulting MBOLD Book - AON Instrument

The AON book is updated with bid Order ID 709 removed.

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

82542063251.90711.9065107833653
816020317101.912



Resulting MBOLD Book - Related Parent Instrument

The related parent instrument is not updated.  

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

7237665571510111025107833653
75288988710101210325180625970
716967992201003



Example 3 - AON Locked Book

This example shows a new AON limit ask order with a price of 1.907 and an order quantity of 15 that results in the book becoming locked due to the top bid and ask prices matching. The AON limit ask order does not match due no corresponding price and quantity of 15 @ 1.907 on the bid side. 

Starting MBOLD Book - AON Instrument

The AON book is updated with the new order.

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

82542063251.90711.9065107833653
9234871021101.9072



895224709151.9083



Starting MBOLD Book - Related Parent Instrument

The related parent instrument is not updated.  

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

723766557151.90811.9065107833653
752889887101.90821.90525180625970
716967992201.913




New AON Order Entered 

A new AON order is entered to ask 15 @ 1.907. A Snapshot (tag 35-MsgType=W) book update is generated:

MBOLD Snapshot (35=W) AON Book Update

Tag Number

FIX Name

Value

Description

48

SecurityID

12345

A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

268

NoMDEntries

4
Data Block 1 - Bid
37OrderID632Order ID
37707MDOrderPriority825420Order priority for execution on the order book

270

MDEntryPx

1.907

Order price of the Market Data Entry

37706MDDisplayQty5Visible Order Qty
269MDEntryType0Bid - Market Data entry type
Data Block 2 - Ask (New Update)
37OrderID953Order ID
37707MDOrderPriority900540Order priority for execution on the order book

270

MDEntryPx

1.907

Order price of the Market Data Entry

37706MDDisplayQty15Visible Order Qty
269MDEntryType1Ask - Market Data entry type
Data Block 3 - Bid
37OrderID1021Order ID
37707MDOrderPriority923487Order priority for execution on the order book

270

MDEntryPx

1.907

Order price of the Market Data Entry

37706MDDisplayQty10Visible Order Qty
269MDEntryType0Bid - Market Data entry type
Data Block 4 - Ask
37OrderID107Order ID
37707MDOrderPriority833653Order priority for execution on the order book

270

MDEntryPx

1.906

Order price of the Market Data Entry

37706MDDisplayQty5Visible Order Qty
269MDEntryType1Ask - Market Data entry type
Data Block 5 - Bid
37OrderID709Order ID
37707MDOrderPriority895224Order priority for execution on the order book

270

MDEntryPx

1.908

Order price of the Market Data Entry

37706MDDisplayQty15Visible Order Qty
269MDEntryType0Bid - Market Data entry type

Resulting MBOLD Book - AON Instrument

The AON book is updated with a locked book at the price of 1.907.  

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

82542063251.90711.90715953900540
9234871021101.90721.9065107833653
895224709151.9083



Resulting MBOLD Book - Related Parent Instrument

The related parent instrument is not updated.  

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

723766557151.90811.9065107833653
752889887101.90821.90525180625970
716967992201.913



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