I was wondering what sequence an offer would be filled with. Scenario: One bidder with price 1 and size 10, timestamp 2 One bidder with price 1.1 and size 10, timestamp 3 One bidder with price 1.2 and size 4, timestamp 1 One bidder with price 1.2 and size 6, timestamp 4 And: One offer with price 1.1 and size 15, timestamp 5 (Time stamp 1 to 5 is indicating the time order from old to new) Will the seller be filled with the 10fills with timestamp 3, 4fills with timestamp 1 and 1fill with timestamp 4 or will the seller be filled with 4fills with timestamp 1, 10fills with timestamp 3 and 1fill with timestamp 4 or maybe another one? Kind regards Janus
This answer would change depending on the market/exchange, order type and if there are other offers coming in at the same time. In a price-time based exchange/market (most are) if these are regular limit orders you would get filled 4@1.2, then 6@1.2, and finally 5@1.1. PSX exchange used to be price-size, in that case you would have been filled 6@1.2, 4@1.2, and 5@1.1. This is no longer the case.
Thank you. You gave me some hints and words that was useful in combination with your knowledge to search for further details.