BUY 1000 MSFT / SELL 2000 INTC.

Also assume that the national order books for INTC on the bid side and MSFT on the ask side are as shown in Tables 1A and 1B.

Table 1A INTC: National Bids Bid Price Bid Size 27.00 200 26.99 500 26.98 500 26.97 1000

Table 1B MSFT: National Asks Ask Price Ask Size 55.00 500 55.01 1000

Offer prices for your order (executed in a 2-1 ratio) as derived from the national markets for the single stocks, are shown in Table 2 in order of best to worst offer.

Table 2 National Offers for your Bar Order Buy 1000 MSFT / Sell 2000 INTC Row Number Size (MSFT x INTC) INTC Bid Price MSFT Ask Price Barter Offer Price MSFT-2 x INTC) 1 100 x 200 27.00 55.00 1.00 2 250 x 500 26.99 55.00 1.02 3 150 x 300 26.98 55.00 1.04 4 100 x 200 26.98 55.01 1.05 5 400 x 800 26.97 55.01 1.07

Based on the best MSFT offer of 500 shares (Table 1B), the system looks for 1000 shares on the INTC side. It finds only 200 INTC at the best price (Table 1A), so that only 100 MSFT can be matched with it (Table 2, row 1), leaving 400 MSFT offered at 55.00. The 400 MSFT at 55.00, requires 800 INTC, but there is only 500 INTC at the next price of 26.99 (Table 1A). It can be matched against only 250 MSFT at 55.00 (Table 2, row 2), leaving 150 MSFT at 55.00 that is still usable, and so on until there is enough depth to fill your order, or until the national books are exhausted.

In Table 2, the Barter Offer Price is the cost of trading the indicated piece of your order at each rows prices and sizes, and is expressed per 100 shares of the buy side, in this case MSFT.