Partial Fill scenario

Discussion in 'Order Execution' started by mr19, Sep 25, 2009.

  1. mr19


    Still waiting on response from broker, figured I'd throw this one out there and see what you guys think.

    100 lot posted bid @ ARCA. 5 seconds later receive partial fill that provides liquidity, a few seconds later receive another fill that takes liquidity for the remaining shares. Order was not modified between fills.

    Any thoughts on how the first partial 'provide' liqudity while the second fill 'removes' liquidity even though the order was never modified?
  2. trom


    A guess...

    You were best bid for 100, and got hit for an odd lot. That would cause your order to no longer be displayed. After you were no longer displayed on the bid the offer came down to your bid price, on a different ECN. The other ECN didn't recognize the undisplayed odd lot at that price and didn't route out and hit you. Instead, ARCA had to route and take the ECN that came down.

    There are all kinds of weird routing rules for odd lots/partial fills. Different ECNs/exchanges have different ways of handling them.
  3. mr19


    Thanks for the reply. That was my first guess as well but the liquidity flag indicates it removed liquidity and did not get routed.