Not all banks are quote markets. For example, Morgan Stanley and UBS display prices equivalent to an ECN-like limit order book, while some, such as Citi, provide both quote-driven markets and an ECN-like limit order book.
Users may execute on these venues in a manner similar to an ECN. In this case, the MDEntry items would be marked with MDElement.LEVEL, like ECNs.
Internally, these venues allow "sweeping" (execution on multiple price levels) by submitting VWAP orders. This order is constructed by giving the total desired amount and the volume weighted average price for all of the levels that the user desires to "sweep". Users of Whisperer just need to submit a limit order, Whisperer internally converts this order to the equivalent VWAP order.
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