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.

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.

1. Calculations are based on live Trad-X order book depth and trade information, and the previous mid level only.
2. The arithmetical mid of the above minimum size bid and offer is calculated first.
3. If this produces a non .1bp point level, the .1bp increment closest to the last mid is chosen.
4. If there is a one-sided available market, the arithmetical mid is calculated as bid +.005bp or offer-.005bp, rounded to the .1bp increment closest to the last mid.
5. If the bid and offer are both missing, the mid stays unchanged.

Constraints:

1. B is the above minimum bid.
2. A is the above minimum ask/offer.
3. T is last trade.
4. M is last-calculated mid sent to TDOL/TIRS.
5. T and M are always in 0.001 increments, but in general B and A are not.

There are 2 types of events:

1. Changes to A and/or B (Price change event).
2. New trade at T (Trade event).

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:

1. If neither of A or B is missing, then the arithmetical mid is X = (B + A) / 2.
2. If X is not a 0.001 increment then the new M = the rounded value closest to last M
3. If X is a 0.001 increment, the new M = X.
4. Where either B or A is missing, X = B+0.0005 (A missing) or A-0.0005 (B missing), new M = the rounded value of X closest to last M.
5. Where B and A are both missing, mid is the last M.