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I'm trying to figure out where my limit order went, and who I actually bought shares from. I'll illustrate by example (some numbers were changed the protect the innocent, but the relative sizes are similar).

I was looking at an order book for XXX with a bid-ask of 100.00-100.03. I put in a limit order to buy 2 shares for 100.01. Looking at the Level II order book, this doesn't show up on the books, presumably because the minimum quantity to get on the book is 100 shares(?). Eventually, shares get moved around at 100.00 on the orderbook (I see several hundred shares bought at 100.00). My broker indicates my order was executed at 100.01, as I submitted with my limit order. What happened behind the scenes there? Who actually sold me the shares? Why wasn't my order actually filled at 100.00?

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    What would you make you think the order could be filled at 55.07 if the bid-ask are both at least 100? – JB King Jun 12 '14 at 19:53
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    @JBKing Presumably he forgot to change that particular number to protect the innocent. – dg99 Jun 12 '14 at 21:05
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Q1. There is no minimum integer share quantity on non-dark-pool US stock exchanges. But unless you're constructing your order book by yourself based on a live exchange feed (rather than using some broker's cookie cutter web app), there may very well be all sorts of things that don't show up on your book.

Q2. Behind the scenes

  • There is no guarantee that your broker sent your order to an actual exchange.
  • If your broker did send your order to an actual (US) exchange, it may not have been the same exchange whose order book you were looking at.
  • If your broker did send your order to an actual exchange and it was the same exchange whose order book you were looking at, your view of the order book may not update frequently enough for you to have noticed the few milliseconds during which your order rested in the book.

Q3. There's no way to know whose shares you bought. It's possible that you encountered two different sellers (Alice and Bob), who each sold you one share in two separate transactions. It's also possible that you encountered two different sellers in a single transaction -- for example, if Alice and Bob use the same broker, and that broker combined their sell orders into one order.

Q4. You were filled at 100.01 instead of 100 because your order was for 100.01; although your restrictive view of the order book might not have allowed you to see the activity you caused at 100.01 (if your order even made it to the exchange), that doesn't mean that the transaction didn't occur there. You may have paid an extra penny per share than all those people buying at 100.00, but you also got filled before they did.

  • Interesting, thanks for the answer! Why do I see mostly offers of 100 on the NASDAQ Level II books? I assumed that Level II provides a complete picture of the books at the various non-dark exchanges, is that incorrect (I do see offers from many different exchanges)? – lid Jun 13 '14 at 0:16
  • What service are you using to see this "NASDAQ Level II" book? How frequently does it refresh? (If it's slower than once per microsecond, then you're bound to be missing a lot of activity. And since your monitor only refreshes at ~60 Hz, that's another limit to how much activity you can see.) Also, when you say "offers of 100", do you mean that you're seeing ask prices of 100? (Offer is typically used as a synonym for ask and an antonym of bid.) – dg99 Jun 13 '14 at 15:34
  • Sorry, I meant that bids and asks were of a # of shares in multiples of 100 (e.g. 100, 200, etc.). I was using TD Ameritrade's Trade Architect tool. My particular offer did not show up in that tool. It was minutes between when I submitted my order and when it was filled, so if my order had made it to an exchange (which I guess it didn't) it should have shown up. – lid Jun 13 '14 at 19:23
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    Might have found the answer: "When you submit a round-lot trade, the trade will show up on the bid/ask pricing data sent to traders from the exchanges. Odd-lot orders are not included in these data reports." Round lots are blocks of 100. finance.zacks.com/trade-stocks-blocks-100-shares-8384.html – lid Jun 13 '14 at 19:26
  • Ahh, I understand now. TDAmeritrade is most likely showing you information from CQS, which I think does not show odd lots. That Zack's webpage is also referring to CQS. I guarantee you that "pricing data sent to traders from the exchanges" do indeed contain every single order, no matter how small. If they didn't, then nobody would know your 2-share order was there, and it would never get filled! (Assuming it went to an actual exchange.) – dg99 Jun 13 '14 at 19:37

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