Order fill question

Discussion in 'Order Execution' started by freewilly, Jul 6, 2009.

  1. It happens all the time to me, and I am paying bug price on this. Someone please help.

    For instance, UIS, bid/ask is 1.65/9000 and 1.66/12000

    I sent a limit price buy order of 20000 shares at 1.66. it filled 12000 shares, and 8000 shares unfilled.

    Now level II become

    1.66/24000 (my 8000 shares biding plus other biddings), and 1.67/32000

    There are lot of transaction price at 1.66, but why mine 8000 shares bidding is not filled? My 8000 shares bidding should be the first.

    Please help.
  2. pr66067


    NASDAQ Level II shows aggregation by MPID of NASDAQ Exchange orders (both market makers and anonymous). Commonly, top of book size from other exchanges is shown too (you'll see entries like ISEG, ARCX, BATS, etc.).

    Level II from another aggregator may show both NASDAQ Level II and another exchange's attributed depth

    *within* each exchange, there is price/time execution.

    *between* exchanges, however, it is a different story.

    Reg NMS allows anybody to execute trades *within* the NBBO (inclusive). Nobody *should* execute at an inferior price to your visible quote, but other exchanges, ECN's, ATS's and internalizing brokers can meet or beat your price all day long without showing a quote.

    Your place in line (timewise) is only held at the exchange you posted to.
  3. gimp570


    thats the otc for ya.......they are crooks...

    and nothing ya can do about it

  4. Thanks, guys.

    Not sure exactly what you guys are talking about, but you guys made me realize that this thing is complicated. Thanks a lot anyway.

  5. Not really, so say @ 1.66 the bid looks like this
    ISLD(8000) ----> (your 8k)
    ARCA(16000)----> someone elses bid

    a Sell market order is sent to ARCA for 6,000 shares.
  6. trom


    You took all of the stock offered at 1.66. That moved the market. The unfilled remainder of your order became the best bid on 1.66 with the new offer at 1.67. The "extra" bids that came to 1.66 that got filled before you were bids on other ECNs. Time priority is specific to each individual ECN.

    For example, take illiquid stock XYZ. The inside is 4.00 x 5.00. You come high bid 4.25 for 1000 on NSDQ. After 5 minutes, an ARCA comes and joins you at 4.25 for 50000 shares. It is possible that someone could hit the ARCA bid over and over and never hit you on NSDQ. It doesn't matter that you were there first.