Which sequence are we guaranteed?

[janus007]

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

 

[baglunch]

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.

 

[janus007]

Thank you.

You gave me some hints and words that was useful in combination with your knowledge to search for further details.