easy · Market Microstructure lob
A limit order book contains two buy orders: Order A for 1,000 shares at 25.10 (arrived at 10:00:01) and Order B for 1,000 shares at 25.11 (arrived at 10:00:05).
If a market sell order for 500 shares arrives, which order receives the fill?
- Both orders share the fill equally (pro-rata).
- Order B
- Neither order, as the market sell order is smaller than the limit orders.
- Order A
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