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Strategies & Market Trends : DAYTRADING Fundamentals
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To: brec who wrote (8306)5/8/2000 12:23:00 PM
From: brec  Read Replies (1) of 18137
 
[The question being discussed is why (or indeed if) Island cancels the balance of an order which hits/lifts the inside bid/offer and reports "would lock/cross," even when it would NOT lock cross because the previous bid/offer was alone at the inside. It is stipulated that the order is a day order during normal market hours, not subscriber-only, and not invisible.]

Today I had another partial cancellation and thus was able to provide a specific instance that the Island folks could look at. The answer:

When the order comes in, the Island system sees that it is against the inside quote and thus (prior to execution) would lock the market; because of that Island changes the order from Day to IOC. Therefore after the partial execution the balance is cancelled.

In sum, my original hypothesis seems to have been correct: the Island software isn't "smart" enough to recognize the special case of ISLD being alone at the inside quote.
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