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| Info |
|---|
| 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.
| Note |
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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.
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Order Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
|---|---|---|---|---|---|---|---|---|
| 723766 | 557 | 15 | 1.908 | 1 | 1.906 | 5 | 107 | 833653 |
| 752889 | 887 | 10 | 1.908 | 2 | 1.905 | 25 | 180 | 625970 |
| 716967 | 992 | 20 | 1.91 | 3 |
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.
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Order Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
|---|---|---|---|---|---|---|---|---|
| 723766 | 557 | 15 | 101 | 1 | 102 | 5 | 107 | 833653 |
| 752889 | 887 | 10 | 101 | 2 | 103 | 25 | 180 | 625970 |
| 716967 | 992 | 20 | 100 | 3 |
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.
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