This topic describes iLink Execution Report - Fill messaging behavior for aggressing and resting orders in FIFO and Non-FIFO markets and also describes additional Execution Report - Fill considerations.

Contents

1 Summary of iLink Execution Report - Fill Messaging Behavior
2 Fills for Aggressing Orders
3 Fills for Resting Orders
- 3.1 FIFO vs Non-FIFO
- 3.2 Example - TOP/Pro Rata/FIFO
4 Display Quantity Orders
5 Opening Trade
6 RFC Order
7 iLink Execution Report - Fill Message Publishing Sequence

Summary of iLink Execution Report - Fill Messaging Behavior

Scenario	Behavior

Scenario	Behavior
Aggressing Order	One fill sent per trade price and per liquidity source irrespective of the number of counterparties involved in the trade.
Resting Order (FIFO Market)	For all order types other than Display Quantity, no change from today.
Resting Order (Non-FIFO Market)	One fill sent with trade quantity aggregated from all match algorithm steps.
Display Quantity (DQ) Order	One fill sent with trade quantity aggregated from all refreshes.
Opening Trade	All bids and asks receive one fill for each order in alternating sequence (i.e., BUY/SELL, BUY/SELL, etc.).

View a video of iLink Execution Report - Fill Messaging Behavior.

Fills for Aggressing Orders

When an aggressing order matches with multiple resting orders at the same price level, Execution Report - Fill messages are sent to the aggressor:

per aggressor order
per trade price
per liquidity source

Execution Report - Fill messages are sent to resting order clients per trade per price level with the exceptions noted below in non-FIFO markets and for Display Quantity orders.

Liquidity Source

A liquidity source is the order or orders that provide the matching quantity to the aggressing order.

Multiple customer orders at the same price level are considered a single liquidity source.
An implied order may have multiple liquidity sources.

Example - Multiple Liquidity Sources

In this example, the total GEZ9 bid size is 1500, 1000 of which is customer order resting quantity. The other 500 lots are implied from two other liqudity sources.

The liquidity sources are:

GEZ9 resting, 1000 lots
GEZ9-GEH0 and GEH0, 200 lots
GEZ9-GEM0 and GEM0, 300 lots

Example - Aggressor Matches at Two Price Levels

This examples depicts a basic matching scenario showing Execution Report - Fill messages sent for aggressing and resting orders.

When the aggressor order matches with the resting orders in the order book, each counterparty receives Execution Report - Fill messages as follows:

Trader X

Fill Report 40 @ 1.0
Fill Report 60 @ 2.0

Trader A

Fill Report 10 @ 1.0
Fill Report 50 @ 2.0

Trader B

Fill Report 10 @ 1.0
Fill Report 10 @ 2.0

Trader C

Fill Report 20 @ 1.0

For stop orders, each triggered stop order is treated as a new aggressor, and the order fills will be sent based on trade price and liquidity source.

Example: Aggressor Matches with Implied Orders

Given the markets below, with an aggressing Bid for 180 @9805 in GEH9:

The aggressing order matches with multiple orders at price level 9805.
The liquidity sources are:
- customer orders A and B
- implied order i1
- implied order i2

When the aggressor order matches with the resting orders in the order book, each counterparty receives Execution Report - Fill messages as follows:

Liquidity Source 1 (customer orders A and B):

Trader X - GEH9 Fill Report 100 @ 9805
Trader A - GEH9 Fill Report 60 @ 9805
Trader B -GEH9 Fill Report 40 @ 9805

Liquidity Source 2 (implied order i1):

Trader X

GEH9 Fill Report 50 @ 9805

Trader E

GEM9 Fill Report 15 @ 9802

Trader F