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PRICE LEVELS

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by

L G

on 1 February 2017

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Transcript of PRICE LEVELS

PRICING LEVELS
A market flow order from broker A comes in to buy 15,000 shares of ZYZ
Resting on MATCHNow's Liquidity destination:
Sell 2,000 Shares ZYZ

Broker A
Sell 2,000 Shares ZYZ Broker B
The order sweeps a total of 4,000 shares at midpoint
, $10.05, by
first matching 2,000 from broker A (broker preferencing) and then moving to the 2,000 from broker B
There are 2,000 shares resting on MATCHNow with a Minimum Price Improvement marker

Broker A with 1,000 ZYZ Shares
Broker C with 1,000 ZYZ Shares
2,000 shares get filled at Minimum Price Improvement:
First matching
1,000 from broker A (broker preferencing)
and
then moving to the 1,000 from broker C
both at a price of
$10.09
The remaining 9,000 shares are eligible for At-The-Quote Trading* on MATCHNow.
There are 15,000 resting at the Quote for ZYZ.
8,000 from broker A and 7,000 from broker H.
The order sweeps this liquidity for the remaining 9,000, first matching Broker A (broker preferencing) and then broker H. The order gets filled at the National Ask: $10.10
MIDPOINT
There are 11,000 shares left of the Aggressive order
Minimum Price
Improvement

At The Quote
ASK
BID
ZYZ
10.00
10.10
1,000
2,000
Caps the price improvement provided by the passive participant to the regulatory minimum of 1 tick, or ½ a tick when the spread is 1 tick wide.
If you want to enter the contest please follow the link


https://form.jotform.com/garzonla/matchnow-contest
Full transcript