easy · Market Microstructure lob
An exchange uses a Price-Time Priority matching rule. Three limit sell orders sit at 10.00: Order A (500 shares, 9:00:01 AM), Order B (1,000 shares, 9:00:05 AM), and Order C (200 shares, 9:00:10 AM).
If a market buy order for 600 shares arrives, how is it filled?
- Pro-rata based on order size
- 500 from Order A, 100 from Order B
- The entire 600 from Order B because it is the largest
- 200 from A, 200 from B, 200 from C
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