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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

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

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.

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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. 

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