This is postmarket. Here are the top asks arca 20.19 1000 brut 20.24 800 You place a buy order at 20.25, intelligent. You first get filled 800 shares from brut at 20.24, then the remaining shares from arca at 20.19. I know, you should place your limit order at 20.19, or go direct to arca. But assume the market is moving too fast to make that kind of decision quickly.
in some smart order routing, it sweeps the book that you are selecting first. if the order is not satisfied, it will seek other ecns.
There are all types of smart order routing depending on your broker. Even if your broker says they route to get you the best price, that usually means during market hours. All bets are off outside of market hours because exchanges and ECNs may not be pro-active... they may not be required to respond to requests. Your broker may route first to places where the algorithm knows there is guaranteed stock at your price. Some ECNs will respond, but have long delays. And finally, when you're not going to a single market (ie NYSE or AMEX), it's not strictly best price auction... at least not until reg NMS comes into effect. Cash
Who's the broker, and how did you route your order (i.e. "smart" or specific ECN)? Did it actually take the shares from BRUT and ARCA, or did it use BRUT to also take the shares from ARCA (i.e. what did the execution reports show)? What exact times? Naz or listed? It doesn't make sense for any smart router to take the higher offer first, regardless of your limit price, unless it had a problem talking to the inside ECN at that moment. It may have actually tried to take the inside offer first, and just received the report later.
Electronic quotes are sometimes flashed on and off. It is possible that the lower offer was momentarily pulled and then re-established, but that this happened so quickly it was not reflected in your quote display, even though it caused your order to be executed in the way it was executed. If this is what happened, then it was perfectly normal. Did you check time and sales to search for evidence of this possibility?
TradeStation, Nasdaq, 'intelligent', postmarket maybe 5PM. I called their trade desk, and they confirmed exactly what happened, saying that thier 'intelligent' orders go to brut first, trying to match orders within brut, even if the order would cross the market. The 'intelligent' order then looks at the other ecns.