Partials.
Orders coming into ISLD are supposed to execute against each other instantly, if they match their quotes. But what does "instant" mean? Given the volume of trading on ISLD in any given period of time - especially during certain peak periods - you could easily have several orders come in, which for all intents and purposes come in simultaneously. There is no way to prioritise a group of orders if they come in apart by 1/10,000s of a second - the software has a limit of some kind, as to time preference, say 1/1000 of a second (I don't know what the actual value is). Thus, it is entirely possible for the following to occur: sell 50 X at Z, and three separate orders of buy X at Z in sizes 100, 100, 200 which come in "at the same time". So, the software cannot preference who gets the 50 - and it atomises "evenly" - 16 shares to one, 16 to the next, and 18 to the guy who wanted 200.
Similiar conflicts would result no matter how you set up a system, sincel the normal order imbalances occur during any trading day. |
