A Repo instrument can be eligible for All-Or-None (AON) orders. An AON order:
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A Repo AON-eligible instrument is identified in the Security Definition (tag 35-MsgType=d) message by tag 872=InstAttribValue bit 23=1 (All or None instrument).
Market By Price (MBP) and Market by Order Limited Depth (MBOLD) order books for the AON instrument will be separate from the parent Repo instrument.
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| Info |
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| 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.
| Info |
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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 |
New AON Order Entered
A new AON order is entered to bid 20 @ 1.907. A Snapshot (tag 35-MsgType=W) book update is generated:
MBOLD Snapshot (35=W) AON Book Update
Tag Number | FIX Name | Value | Description |
48 | SecurityID | 12345 | A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
268 | NoMDEntries | 4 | |
| Data Block 1 - Bid | |||
| →37 | OrderID | 632 | Order ID |
| →37707 | MDOrderPriority | 825420 | Order priority for execution on the order book |
→270 | MDEntryPx | 1.907 | Order price of the Market Data Entry |
| →37706 | MDDisplayQty | 5 | Visible Order Qty |
| →269 | MDEntryType | 0 | Bid - Market Data entry type |
| Data Block 2 - Ask | |||
| →37 | OrderID | 107 | Order ID |
| →37707 | MDOrderPriority | 833653 | Order priority for execution on the order book |
→270 | MDEntryPx | 1.906 | Order price of the Market Data Entry |
| →37706 | MDDisplayQty | 5 | Visible Order Qty |
| →269 | MDEntryType | 1 | Ask - Market Data entry type |
| Data Block 3 - Bid (Newly Added) | |||
| →37 | OrderID | 709 | Order ID |
| →37707 | MDOrderPriority | 895224 | Order priority for execution on the order book |
→270 | MDEntryPx | 1.907 | Order price of the Market Data Entry |
| →37706 | MDDisplayQty | 20 | Visible Order Qty |
| →269 | MDEntryType | 0 | Bid - Market Data entry type |
| Data Block 4 - Bid | |||
| →37 | OrderID | 317 | Order ID |
| →37707 | MDOrderPriority | 816020 | Order priority for execution on the order book |
→270 | MDEntryPx | 1.91 | Order price of the Market Data Entry |
| →37706 | MDDisplayQty | 5 | Visible Order Qty |
| →269 | MDEntryType | 0 | Bid - Market Data entry type |
...
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 | 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 |
New AON Order Entered
A new AON order is entered to ask 20 @ 1.907. A Trade (35=X) and Snapshot (tag 35-MsgType=W) book update is generated:
AON Trade (35=X) Update
Tag Number | Tag Name | Value | Description |
|---|---|---|---|
→279 | MDUpdateAction | 0 | 0 = new. Type of Market Data update action. |
→269 | MDEntryType | 2 | 2 = trade. Type of Market Data entry. |
→48 | SecurityID | 12345 | Unique instrument ID as qualified by the exchange. |
→270 | MDEntryPx | 1.907 | Price of the Market Data Entry. |
| →271 | MDEntrySize | 20 | Aggregated trade quantity for the instrument at the price level represented by the Trade Summary entry. |
| →5797 | AggressorSide | 2 | 0=No aggressor 1=Buy 2=Sell |
MBOLD Snapshot (35=W) AON Book Update
Tag Number | FIX Name | Value | Description |
48 | SecurityID | 12345 | A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
268 | NoMDEntries | 4 | |
| Data Block 1 - Bid | |||
| →37 | OrderID | 632 | Order ID |
| →37707 | MDOrderPriority | 825420 | Order priority for execution on the order book |
→270 | MDEntryPx | 1.907 | Order price of the Market Data Entry |
| →37706 | MDDisplayQty | 5 | Visible Order Qty |
| →269 | MDEntryType | 0 | Bid - Market Data entry type |
| Data Block 2 - Ask | |||
| →37 | OrderID | 107 | Order ID |
| →37707 | MDOrderPriority | 833653 | Order priority for execution on the order book |
→270 | MDEntryPx | 1.906 | Order price of the Market Data Entry |
| →37706 | MDDisplayQty | 5 | Visible Order Qty |
| →269 | MDEntryType | 1 | Ask - Market Data entry type |
| Data Block 3 - Bid | |||
| →37 | OrderID | 317 | Order ID |
| →37707 | MDOrderPriority | 816020 | Order priority for execution on the order book |
→270 | MDEntryPx | 1.91 | Order price of the Market Data Entry |
| →37706 | MDDisplayQty | 5 | Visible Order Qty |
| →269 | MDEntryType | 0 | Bid - Market Data entry type |
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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 -
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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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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 |
New AON Order Entered
A new AON order is entered to ask 15 @ 1.907. A Snapshot (tag 35-MsgType=W) book update is generated:
MBOLD Snapshot (35=W) AON Book Update
Tag Number | FIX Name | Value | Description |
48 | SecurityID | 12345 | A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
268 | NoMDEntries | 4 | |
| Data Block 1 - Bid | |||
| →37 | OrderID | 632 | Order ID |
| →37707 | MDOrderPriority | 825420 | Order priority for execution on the order book |
→270 | MDEntryPx | 1.907 | Order price of the Market Data Entry |
| →37706 | MDDisplayQty | 5 | Visible Order Qty |
| →269 | MDEntryType | 0 | Bid - Market Data entry type |
| Data Block 2 - Ask (New Update) | |||
| →37 | OrderID | 953 | Order ID |
| →37707 | MDOrderPriority | 900540 | Order priority for execution on the order book |
→270 | MDEntryPx | 1.907 | Order price of the Market Data Entry |
| →37706 | MDDisplayQty | 15 | Visible Order Qty |
| →269 | MDEntryType | 1 | Ask - Market Data entry type |
| Data Block 3 - Bid | |||
| →37 | OrderID | 1021 | Order ID |
| →37707 | MDOrderPriority | 923487 | Order priority for execution on the order book |
→270 | MDEntryPx | 1.907 | Order price of the Market Data Entry |
| →37706 | MDDisplayQty | 10 | Visible Order Qty |
| →269 | MDEntryType | 0 | Bid - Market Data entry type |
| Data Block 4 - Ask | |||
| →37 | OrderID | 107 | Order ID |
| →37707 | MDOrderPriority | 833653 | Order priority for execution on the order book |
→270 | MDEntryPx | 1.906 | Order price of the Market Data Entry |
| →37706 | MDDisplayQty | 5 | Visible Order Qty |
| →269 | MDEntryType | 1 | Ask - Market Data entry type |
| Data Block 5 - Bid | |||
| →37 | OrderID | 709 | Order ID |
| →37707 | MDOrderPriority | 895224 | Order priority for execution on the order book |
→270 | MDEntryPx | 1.908 | Order price of the Market Data Entry |
| →37706 | MDDisplayQty | 15 | Visible Order Qty |
| →269 | MDEntryType | 0 | Bid - Market Data entry type |
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