Hi, I understand limit ask offers will be filled when there is a market order to fill it. What I don't understand is what if there is a limit buy order and a limit sell order at the same price, why wouldn't that be filled? Say 20.00 dollars, if two people both put in buy and sell limit orders at that price what would happen?
They will match and fill but you will not get any price movement out of it and depending on your size you either will or will not get filled on your total lot size at the specified limit price and as you instantly try and fill those limits the HFT are cancelling the limits if they think you are going to railroad them that is why the size on the order book is fake! if there was a speed bump then you could hit big limit orders like we could pre 2008 when the EMINI had 700 to 1200 lots per level or per tick!! imagine that size!! In some CLOBS the bid and ask for limits can be at the same price. the cme is not this way which means the mkt is greased up to move.