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First off, please bear in mind that this is a very rare scenario for a very illiquid stock in an illiquid market. Let's say the lowest ask price for the stock is 10.00 atm and there's no bid order whatsoever on the other side; a market sell order comes in soon after sitting in the queue as there's yet any incoming/matching buy order at the moment. 30 seconds later a buy order finally comes in with a bid of 10.05 on the same exchange.

Here comes the question: does the 10.05 buy order get matched with the market order at 10.05 or does it match with the limit sell order at 10.00. My understanding is that market order generally has higher priority than limit order so it would get matched first albeit higher price. However, if price/time priority were to be valued, then intuitively it would make more sense that the lower-priced 10.00 limit sell order be matched with the buy order! This is a very rare case but can someone please shed some light on this? Thanks.

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    Which stock exchange is this on?
    – Flux
    Commented May 11, 2022 at 9:45
  • Hard to know what you're asking because the circumstances are unclear. (1) What is 10 atm? ATM is an option term, aka at-the-money. What's it meaning here? (2) If this is the NYSE, there has to be a bid price because there are market makers who are required to maintain a market. (3) If a market order comes in, it will be filled at the NBBO quote. What is it here? Commented May 11, 2022 at 11:27
  • I meant "at the moment" not at-the-money option ! I know market makers are required to maintain a market. However, this is purely a hypothetical situation. I guess what I meant to figure out is with the existing limited sell order already sitting in the book on the ask side, would the market order (which comes in after the limit sell order) still get crossed with NBBO (10.05 from the bid) even though the limit sell order had already come in with a 10.00 ask price.
    – LAZJ
    Commented May 11, 2022 at 12:46
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    In other words, do market orders always have priority over limit orders despite the limit orders having a better price ? Wouldn't this consitute a trade-through which is in violation of Rule 611 since the buy order is filled with inferior price by market order (10.05 ) vs earlier arriving limit sell (10.00).
    – LAZJ
    Commented May 11, 2022 at 12:46
  • The first order received has priority. If it's a market order, it's filled immediately. If it's a limit order, it's filled if it's executable at current NBBO. If it's not marketable, it goes on the order book. Commented May 11, 2022 at 15:06

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