The calculation of TSTG1/TRUK1 mid is based on the first approximate 25K DV01 of orders at the best levels available. In this methodology, DV01 is approximated in the following table containing the 'sociable' sizes agreed by the founders. This simplifies the calculations and permits easy reconstruction and replication of the calculations at a later date.
Data is provided with a 15 minute delay. For MiFID II data please navigate to Compliance & Regulation section of the website.
If there is insufficient size at the best bid (offer) level, size is taken from the next bid (offer) level, and so on, until the above size has been reached. The size-weighted average is then calculated and rounded to 6 decimal places (basis points). If there is insufficient size to create a VWAP bid (offer) of the required DV01 size, the bid (offer) is considered 'missing'.
The underlying principal is that the TSTG1/TRUK mid price is sticky - it moves the minimum necessary to remain consistent with the following rules, and may not move at all. A trade sets mid to the trade level, but that mid can then change immediately depending on the post-trade bid and offer levels.
There are 2 types of events:
M can only change after one of these 2 events. An overfill trade (e.g. offer in 200m takes out 100m bid) is processed as a trade event followed by a residual order event.
**If the constraints change the following rules may also change**
After a Price Change Event: