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Bank

Order-Based

The raw liquidity offered by the Bank to the Customer. Typically presented as a single quote. The Customer may trade through this 'book', provided they submit orders in strict sequence from best price to worst.

Limit orders - The client provides the price associated with a requested quantity. This will either be the price of a given rung/side, or it will be a VWAP across multiple rungs. Typically the client will obtain a single fill for each individual request.

Market orders - No price is specified, the Bank will compute this (VWAP or rung) on the Customer's behalf, based on the provided quantity.

Volume Ladder

Essentially A VWAP representation of the above, with pre-configured volume rungs. Could be considered an equivalent to a CLOB Full Amount book:,

For a given quote a Customer may typically hit a single rung only, although some banks do allow trading through the ladder, to a maximum total of the largest rung.