If lower ask enters when bid is filling, then what?

J

janus007

Hi

A question that puzzles me a lot :)

Scenario:

Trade execution has started, the buyer is getting filled, but suddenly a better ask enters the order book.
The buy order is not filled completely.

Will the transaction get rolled back to the seller and then restart at the better ask-price?
Will the filling continue with the better ask-price?
 
janus007 said:
Hi

A question that puzzles me a lot :)

Scenario:

Trade execution has started, the buyer is getting filled, but suddenly a better ask enters the order book.
The buy order is not filled completely.

Will the transaction get rolled back to the seller and then restart at the better ask-price?
Will the filling continue with the better ask-price?
More...

be serious . when in life do you get a do over. it doesn't get rolled back.

your firm if it is not the usual shlack will try to cancel the unfilled portion of the order and will try to switch to the lowest ask price.
 
The new "ask" would receive price improvement on its shares and, would become the new ask if the # of shares it wants to sell is greater than the current bid's # of shares.

Did I read your question right? Seems like a fairly simple scenario.


janus007 said:
Hi

A question that puzzles me a lot :)

Scenario:

Trade execution has started, the buyer is getting filled, but suddenly a better ask enters the order book.
The buy order is not filled completely.

Will the transaction get rolled back to the seller and then restart at the better ask-price?
Will the filling continue with the better ask-price?
More...
 
It seems the question wasn't particular clear, even when I read it myself I'm not sure I understand it fully, though it is very simple as pointed out :)

What I mean:

Seller side:
$1, size 10
$1, size 10
$1, size 10

Buy side:
$1, size 25

The exchange starts to process the incoming buy order, after the first seller is filled and buyer is partially filled, a new seller enters the order book. Please note that the trading engine still is executing the buy order.

New sell:
$0.9, size 25

Will the engine (SEC compliance somehow I think) , fill the buyer with $0.9 size 15
;, or will it continue with filling at $1
;, or will the transaction get rolled back and then filled with $0.9 size 25
 
If the first seller is filled for 10 shares at $1, and THEN a new seller comes in at .90 to sell 25 shares, the remaining 15 shares bid at $1 will be filled at $1 (giving the .90 seller price improvement on those 15 shares) and then the remaining 10 shares will either be filled at prices .999 down to .90 (if there are buyers bidding in that range) OR .90 for 10 shares will become the new offer.

Of course this all happens lightening fast when orders are matched up. You probably wont be able to see this happen in real time.

janus007 said:
It seems the question wasn't particular clear, even when I read it myself I'm not sure I understand it fully, though it is very simple as pointed out :)

What I mean:

Seller side:
$1, size 10
$1, size 10
$1, size 10

Buy side:
$1, size 25

The exchange starts to process the incoming buy order, after the first seller is filled and buyer is partially filled, a new seller enters the order book. Please note that the trading engine still is executing the buy order.

New sell:
$0.9, size 25

Will the engine (SEC compliance somehow I think) , fill the buyer with $0.9 size 15
;, or will it continue with filling at $1
;, or will the transaction get rolled back and then filled with $0.9 size 25
More...
 
janus007 said:
Seller side:
$1, size 10
$1, size 10
$1, size 10

Buy side:
$1, size 25
More...

The buyers $1.00 Limit Order gets filled at $1.00

janus007 said:
New sell:
$0.9, size 25
More...

The buyers $1.00 Limit Order gets filled at $0.90 unless the order was previously filled.


I know for options that both Limit Orders and Market Orders do get filled at a better price than what is quoted on a regular basis. I prefer Market Orders because I usually want the order filled immediately
 
Thank you both for explaining this.

I can now safely assume that no transaction will be rolled back if a better price enters the order book.
 
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