Pegging an order with reference to the midpoint between the inside bid and the inside offer. For example, if the inside bid was $10 and the inside offer was $10.50, an order with midpoint pegging would be priced at $10.25.
A midpoint pegging is an order attribute (known as a midpoint pegging attribute) whereby specific orders are priced and ranked in time order at the midpoint. An example is a contra midpoint only (CMO) is a non–displayed order type priced at the midpoint between the best bid and the best offer. A CMO resting on the order book may be subject to cancellation by an exchange upon placement of certain types of orders that may indicate less favorable pending price movements than the prevailing price, thus providing protection to the CMO trader against fillings at the prevailing less favorable midpoint price.
