Aggregation and allocation of orders - COBS Provision: Difference between revisions

An aggregated order consists of a group of orders from different clients to buy or sell a specific security which are bunched together by a broker and handled as a block. That block might itself be "worked" or executed in smaller clips on different exchanges and venues in shapes and sizes that do not correspond with the shapes and sizes of the original order. The clients are each given a single blended price of the execution of those orders on the exchange.  

Now arguably client Y's order couldn't have been filled at all because the shapes don't fit. And through time, on average, client will benefit as frequently as it will lose.