abattia
Registered: Dec 2008
Posts: 983 |
08-02-12 11:08 PM
I can't find a reference to this anywhere, so it may be wrong (for which I will be justifiably flamed mercilessly, no doubt) but anyway ...
... to define the Best Bid and Offer, I believe there must be a total of at least a round lot of shares (i.e. a total of at least 100 shares, even if coming from multiple different orders) at the level.
If the above is correct, and you placed an order $0.01 above the bid...
... some other joker (or group of jokers, with orders together totalling less than a total of 100 shares) had resting limit orders below the ask. You couldn't see them as at each level they were for less than a total of 100 shares.
Your order got matched with the joker with a 1 share limit sell order resting $0.01 above the bid ...
... but then again, all the above could be wrong. Let's see what others think ...
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EDIT: OK, found it here:
https://www.federalregister.gov/art...ending-its#p-26
"Interest will be quoted if it is equal to or greater than a round lot when the price point becomes the Exchange best bid and offer (Exchange BBO). "
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Why do people place 1 share limit orders? Because they are testing trading user interfaces, or an algo, or perhaps haven't a clue what they're doing and just saw some buttons they wanted to push? Who knows? Any of the above ...
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