APPENDIX 1

0

-20
80
180
280
380
480
580

Lots buy/sell

Time (milliseconds)

Example of Mr Coscia's Pattern of Trading (00:00:00.000 to 00:00:00.609)

Cumulative Buy Orders
Cumulative Sell Orders
Mid Price
Trade Price
Mr Coscia Sell Order Price
Mr Coscia Buy Order Price

Time Interval
(milliseconds)
Order Buy/Sell

Volume
(lots)

Best
Bid

Mid
Price
Time

Time Interval
(milliseconds)
Order Buy/Sell

Volume
(lots)

Best
Bid

Mid
Price

00:00:00.000
0
Buy
115.86
17
115.86 115.88
115.87
00:00:00.294
29
Sell
115.88
17
115.84 115.86
115.85

00:00:00.023
23
Sell
115.89
122
115.87 115.88 115.875
00:00:00.316
22
Buy
115.82
99
115.84 115.86
115.85

00:00:00.122
99
Sell
115.88
85
115.86 115.88
115.87
00:00:00.423
107
Buy
115.83
88
115.84 115.86
115.85

00:00:00.231
109
Sell
115.87
54
115.86 115.88
115.87
00:00:00.550
127
Buy
115.86
122
115.85 115.88 115.865

00:00:00.232
1
Buy Order Traded
115.86
3
00:00:00.579
29
Sell Order Traded
115.88
17

00:00:00.234
2
Buy Order Traded
115.86
14
00:00:00.593
14
Buy Order Cancelled
115.86
122
115.87 115.90 115.885

00:00:00.257
23
Sell Order Cancelled
115.89
122
115.84 115.86
115.85
00:00:00.607
14
Buy Order Cancelled
115.83
88
115.87 115.90 115.885

00:00:00.261
4
Sell Order Cancelled
115.88
85
115.84 115.86
115.85
00:00:00.609
2
Buy Order Cancelled
115.82
99
115.87 115.90 115.885

Sell orders cancelled
after buy order traded

Buy orders cancelled after

sell order traded

Buy order for 17 lots

traded @ 115.86

Sell order for 17 lots

traded @ 115.88

0