Order Types and Functionality Guide

40 MGF eligible orders are not affected by RT participation and these orders continue to be guaranteed by the RT at the best displayed price. The RT auto-generates orders at each price level to trade with no more than 40% of the incoming order’s volume (after the incoming order’s broker priority volume has been allocated to other orders in the book). RT participation will fill no more than 40% of the incoming orders described above even in cases where the CLOB could fully fill the incoming order. At each price level the RT allocated participation volume is no greater than the volume allocated to other non-RT booked orders. Allocation of the 40% RT participation is rounded down to nearest full board lot. One exception exists in the case when an order is for 200 shares – allocating 40% would result in no RT participation, so the order is allocated 50% or 100 shares. If the RT has a booked order with time priority over all other booked order at that price level the incoming order will trade against that booked RT order at that price level rather than generate an RT auto-participation order at that price level. This mechanism ensures the rest of the orders in the order book have ample opportunity to trade. Participation Self-Trade Prevention In order to prevent wash trades, RT’s may optionally define a self-trade key to associate with their Trader ID. If an incoming order from the same broker as the RT would generate a participation fill, and that incoming order has the same self-trade key as the RT, then the participation fill will be prevented. The exact behaviour will depend on the self-trade instruction of the active order. • If the active order has an ‘EM’ (execute match) instruction, then the participation fill will occur but will be suppressed from the tape. The fill will be marked as a Self Trade. • If the active order has an ‘NM’ (cancel newest), ‘OM’ (cancel oldest), or ‘DM’ (decrement larger and cancel smaller) instruction, then the participation fill will be prevented altogether. Note that in cases where there are two RTs assigned to the symbol, the other RT may still receive a participation fill if they have participation enabled. Example: RT Participation Assume the CLOB is as follows: RT: JOEAVG MGF: 500 Participation: ON BID OFFER Order # 001 300 $10.00 $10.02 400 Order # 002 Order # 004 200 $10.00 $10.02 100 Order # 003 If an incoming client order (Order 005) to sell 500 shares @ MKT is entered, then since RT Participation is on, the incoming trade will be allocated 40% to the RT and 60% to the resting CLOB liquidity. The following trades occur: BUYER Seller Quantity Price Order # 001 Order # 005 300 $10.00 RT Order # 005 200 $10.00 Resulting Order Book: BID OFFER Order # 004 200 $10.00 $10.02 400 Order # 002 $10.02 100 Order # 003