MDP 3.0 - All-Or-None Processing
A Repo instrument can be eligible for All-Or-None (AON) orders. An AON order:
- must be executed in its entirety or not at all
- can only match with another AON order of the same price and total order quantity
- has a separate order book and Security ID from that of the non-AON version of the instrument.
For purposes of this explanation, the non-AON instrument is considered the "parent" of the AON instrument.
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.
For related AON and parent instruments, the counterpart instrument is identified in the Security Definition message repeating group tag 1650-RelatedSecurityID.
All trade statistics are separate for the parent instrument and the related AON market except VWAP, which combines the AON and parent markets.
All-Or-None Processing Examples
The examples below illustrate AON processing.
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.
Starting MBOLD Book - AON Instrument
Order Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
---|---|---|---|---|---|---|---|---|
825420 | 632 | 5 | 1.907 | 1 | 1.906 | 5 | 107 | 833653 |
816020 | 317 | 10 | 1.91 | 2 |
Starting MBOLD Book - Related Parent Instrument
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 |
Resulting MBOLD Book - AON Instrument
The AON book is updated with the new order.
Order Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
---|---|---|---|---|---|---|---|---|
825420 | 632 | 5 | 1.907 | 1 | 1.906 | 5 | 107 | 833653 |
895224 | 709 | 20 | 1.907 | 2 | ||||
816020 | 317 | 10 | 1.91 | 3 |
Resulting MBOLD Book - Related Parent Instrument
The related instrument is not updated.
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.
Starting MBOLD Book - AON Instrument
The AON book is updated with the new order.
Order Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
---|---|---|---|---|---|---|---|---|
825420 | 632 | 5 | 1.907 | 1 | 1.906 | 5 | 107 | 833653 |
895224 | 709 | 20 | 1.907 | 2 | ||||
816020 | 317 | 10 | 1.91 | 3 |
Starting MBOLD Book - Related Parent Instrument
The related parent instrument is not updated.
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 |
Resulting MBOLD Book - AON Instrument
The AON book is updated with bid Order ID 709 removed.
Order Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
---|---|---|---|---|---|---|---|---|
825420 | 632 | 5 | 1.907 | 1 | 1.906 | 5 | 107 | 833653 |
816020 | 317 | 10 | 1.91 | 2 |
Resulting MBOLD Book - Related Parent Instrument
The related parent instrument is not updated.
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 - 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.
Starting MBOLD Book - AON Instrument
The AON book is updated with the new order.
Order Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
---|---|---|---|---|---|---|---|---|
825420 | 632 | 5 | 1.907 | 1 | 1.906 | 5 | 107 | 833653 |
923487 | 1021 | 10 | 1.907 | 2 | ||||
895224 | 709 | 15 | 1.908 | 3 |
Starting MBOLD Book - Related Parent Instrument
The related parent instrument is not updated.
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 |
Resulting MBOLD Book - AON Instrument
The AON book is updated with a locked book at the price of 1.907.
Order Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
---|---|---|---|---|---|---|---|---|
825420 | 632 | 5 | 1.907 | 1 | 1.907 | 15 | 953 | 900540 |
923487 | 1021 | 10 | 1.907 | 2 | 1.906 | 5 | 107 | 833653 |
895224 | 709 | 15 | 1.908 | 3 |
Resulting MBOLD Book - Related Parent Instrument
The related parent instrument is not updated.
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 |
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