medium · Market Microstructure lob

What is the status of our limit order after the match, and what microstructure risk is the order exposed to while waiting in the queue?

1. The limit order is fully filled immediately because market sell orders always execute against and exhaust every single resting bid order sitting at the touched price level, regardless of the total share size of the incoming market order
2. The limit order is cancelled automatically by the exchange the instant that the available market depth at that specific price level proves insufficient to fully satisfy the entire incoming 30,000-share market sell order in a single matching pass
3. The limit order is partially filled for 5,000 shares immediately because it sits at the very back of the queue, and price-time priority rules dictate that market orders always fill the most recently placed resting limit orders first at each price level
4. The limit order is not filled at all; it remains in the queue with 50,000 shares still ahead of it that were not consumed by the 30,000-share market order; the primary risk is that the price moves down to 9.99 before the order reaches the front

Sign up free to see the explanation and track your rank →