The diagram shows the order book sources used in this example. SR1 products (SOFR) are on the A (Pro Rata) algorithm and have a Pro Rata minimum of 2.
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Source #1: SR1U3= 291 aggress
TOP order gets 100 and is filled. 191 left to match.
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Order | Working Quantity |
|---|---|
2 | 156 |
3 | 237 |
4 | 316 |
Source #2: SR1U3-SR1G4 spread = 42 aggress
No TOP.
Pro Rata
Order 1 = 50/200*42 = 10
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Order | Working Quantity |
|---|---|
1 | 38 |
2 | 20 |
3 | 60 |
4 | 40 |
Source #2: SR1G4 = 42 aggress
No TOP.
Pro Rata
Order 1 = 20/200*42 = 4
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TOP order gets the first 10 lots, with 11 remaining going to the next step.
Pro Rata:
Order 2 = 40/10090*11 = 4
Order 3 = 20/10090*11 = 2
Order 4 = 30/10090*11 = 3
4+2+3=9, 2 lots left over which goes to order 2.
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