Trading below the NBB - How does this happen?

[a-greenwell]

Yesterday (10/31) I bought 113 shares of XME @ 44.43. Curiously, my AON limit buy order was submitted at 44.44, and the NBB appears to have stayed at 44.45 for the entire execution period.

My first thought was that someone wanted out quick and paid through the levels, but my order wasn't new... it had been sitting in the book for a full 20 seconds.

1) Why would anyone sell me shares @ 44.43 when I was clearly willing to pay 44.44?

2) How could the NBB read 44.45 while trades were being filled as far below as 44.40?

As for #1, I'm thinking it might have something to do with my limit order being AON, or perhaps the odd size (113).

*** Of course, no complaints on my part, I'm perfectly happy to see my fills improved, just trying to gain a deeper understanding of the plumbing here.


Details:
I trade through IB, order was routed using SMART, sent at 12:59:07, at which time the NBB was 44.47. Order filled at 12:59:28. Order was never modified.

Attached is a PNG snapshot of the tick chart (eSignal) for the time-frame in question.

Next post will include a snapshot the TS data...

 

[a-greenwell]

Here is the TS data (attached)

 

[MoreLeverage]

AON orders are basically executed by your broker at their discretion, they don't go on the order book in an obvious way.

 

[a-greenwell]

Thanks, that helps. As for #2... how can trading occur below the NBB?

 

[1245]

Quote from MoreLeverage:

AON orders are basically executed by your broker at their discretion, they don't go on the order book in an obvious way.

AON orders have no standing. Basically to buy 500 shares AON, there must be at least 500 shares offered. They are NOT "executed by your broker at their discretion." That would be a "not held order". There is NO discretion involved. I would NEVER enter an AON order.

 

[michael45]

Quote from a-greenwell:

Here is the TS data (attached)

Hello a-greenwell,

Thanks for given TS data, I hope you are continuing your post.

Thank you.

 

[a-greenwell]

Thanks, it was a single event. I'll post more if it happens again. It's still a mystery though (to me at least) as to why trading will sometimes occur below the NBB. I know very little about market microstructure, so I was hoping someone on the forum might have some insight...

 

[syswizard]

Quote from 1245:

AON orders have no standing. Basically to buy 500 shares AON, there must be at least 500 shares offered. They are NOT "executed by your broker at their discretion." That would be a "not held order". There is NO discretion involved. I would NEVER enter an AON order.

Yeah but his volume was puny...113 shares ?
I don't see why that would have any impact on the fill price.
Now 5000 shares bid AON, that's a lot different.

 

[1245]

Quote from syswizard:

Yeah but his volume was puny...113 shares ?
I don't see why that would have any impact on the fill price.
Now 5000 shares bid AON, that's a lot different.

I guess that does not matter. Everyone goes ahead of you. Someone would have to hit the entire bid to get filled. AON orders are not a great idea.

 

[syswizard]

Quote from 1245:

AON orders are not a great idea.

It keeps you from getting "pieced" though.
Reduces ticket charges.