hard · Market Microstructure lob
A trader posts a hidden (fully iceberg-concealed) limit buy at $10.00 on a venue using strict price-time priority, where a displayed buy limit at $10.00 already rests ahead in time. Moments later a second trader posts a displayed buy at $10.01.
Under the venue's standard price-display priority rules (display priority breaks price ties only at equal prices, with hidden orders deprioritized within a price level), in what order will an incoming marketable sell sweep these three orders?
- $10.01 displayed, then $10.00 displayed, then $10.00 hidden — price first, then display beats hidden at the tied level
- $10.01 displayed, then $10.00 hidden (earlier time), then $10.00 displayed — price first, then time fully governs the tied level
- $10.00 hidden, then $10.00 displayed, then $10.01 displayed — hidden non-displayed orders are matched first to incentivize liquidity
- $10.00 displayed, then $10.01 displayed, then $10.00 hidden — resting time of the first order anchors the whole sweep order
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