Sweep Detection
There is "sweep detection" which occurs for any orders that occur during the same price tick. This "sweep quantity" counter does not account for burst quantity. After the price ticks, the current "sweep quantity" is reset, as it is superseded by Liquidity Reduction (+ Pending Volume LR).
Working Example
22:06:24.093 - First trade 199000 GBP filled at 1.78594 (published price 1.78594 / 1.79593)
22:06:24.124 - Second trade 2000 GBP filled at 1.78165 (published price 1.78165 / 1.80028)
Order book at the time
quantity | price |
50000 | 1.78883 |
50000 | 1.78717 |
50000 | 1.78606 |
129000 | 1.78165 |
For a total quantity of 279000
When the first order arrived, the 199k quantity would have been added to the sweep counter, and been stamped with a published price VWAP of 1.78594, which matches the fill price.
When the second order arrived, as there had not been another price tick yet the 199k from the first order was still in the sweep counter, and used when calculating a fair published price for the second order. This means all of the liquidity for the second order came from the 4th level in the stack, so was stamped with a fair published price of 1.78165.
Price improvement
Because "Price Improvement" is switched off, the published price is considered a fair fill price for the order, and so the second order was filled at that price of 1.78165.
If Price Improvement was on, the order would have been filled at the rate that came out of the Last Look engine at 1.78883.