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Strategies & Market Trends : Anthony @ Equity Investigations, Dear Anthony,
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To: SEAN007 who wrote (6734)1/28/1999 7:12:00 AM
From: tsunami  Read Replies (1) of 122087
 
> AP can you answer a question? I had some shorts shares on
> IMON i put out to cover. I put a limit order on them and it
> was way below the bid and ask yet they were bought at my limit
> price,, at the time the bid and ask was about .375 higher.
> Can you explain that? I went to pull the order thinking I'll
> cover tomorrow and they were gone they were broken up in 8
> trades some small some large. Any advice?

This was probably an island (ISLD) fill. That is the way ISLD
operates. (other ECNs might be the same) At the time of your limit
order, lets say market was 7 x 7 1/8. You enter your limit order
of buy @ 6 5/8. At the same exact moment a long decides to sell,
whatever the reason (more about this down below), long enters a
limit sell @ 6 5/8. ISLD tries to do internal matching before
forwarding it to nasdaq (actually ISLD will kill your order if
it will lock or cross the market but datek software takes care of
that part, that is why datek market orders are extremely slow
I think) So ISLD has a seller willing to hit all the bids
6 5/8 or above. ISLD does not care if the current market is
7 x 7 1/8, if it has internal matches in its book, it executes
those before killing the order (or advertising it if it becomes the
best bid or best offer).

So your limit bid was hit by a seller willing to take 6 5/8 even
though the current market was 7 x 7 1/8.

So why did the long decide to sell @ 6 5/8 even though the market
was 7 x 7 1/8?

Probably fast moving market, seller decides 7 x 7 1/8 will not hold
and besides bid size @ 7 is 1000 shares and he has 10000 to sell.
And the best bid is an MM which might take his time to fill you.
He thinks stock is going to 2 for sure. He sees the ISLD book,
he sees the bids up to 6 5/8 for a total of 10000. He offers
the stock on ISLD with a limit of 6 5/8. He hits all the
bids down to 6 5/8. Your bid is one of them. ISLD does not
care if the current market was @ 7 x 7 1/8. ISLD has buyers and
sellers willing to trade, ISLD executes the trades.

I am sure someone will correct me if I am wrong.

Regards,
t
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