One Order Can Execute Across Multiple Prices
This lesson mirrors the previous Lesson 12 applying the same execution rules to the opposite side of the book. To reiterate, in the Lesson 12, ask orders arrived first
Here, bids arrive first and a sell order arrives afterward
No new rules are introduced. The same price-first, time-second logic applies.
Stage 1. The Resting Ask Is Removed
Before continuing, the resting ask at $17 is removed so the sell-side execution can be examined in a structure that mirrors Lesson 12.
Event: Four sellers submit asks at different prices.
The orders are recorded in the asks ledger.
The bids differ by both price and arrival time.
No trade has occurred yet.
Stage 3. A Large Sell Order Arrives
Event: At a seller submits an order to sell 14 apples at $17
The sell price overlaps with multiple bids.
Execution can proceed.
Note
Only bids that are reached under price-priority execution can be matched against the incoming sell order.
The sell order is for
14
apples at
$17
Under price priority, execution begins with the highest bid prices and proceeds to lower-priced bids.
In this case:
- 10 apples are available at the bid price of $17
- 4 additional apples match the bid at $16 to complete the sell order
After these matches, the sell order will have no remaining quantity.
The remaining 2 apples at $16 are not matched because the sell order has already been fully executed.
The ask submitted at $17 is an incoming order and is not matched against itself.
Stage 4. Execution Proceeds by Price Priority
The same rules as before apply:
- Orders at better prices execute before orders at worse prices.
- Time is consulted only when prices are equal.
Execution proceeds.
Watch how the sell order is matched against existing bids step by step.
Execution 1
- A - ask amount decreased from 14 to 4
- B - 10 apples are taken from the bid at $17 the highest bid price in the book.
- C - 10 apples @ $17 recorded in the trade tape.
Execution 2
After the $17 bid is fully consumed, $16 becomes the highest remaining bid price.
- D - 4 apples are taken from the bid at $16 - the amount decreased from 6 to 2
- E - the seller’s order is now fully executed and removed from the asks ledger.
- F - execution is recorded @ $16 for 4 apples in the trade tape
After Full Execution
- The bid at $17 is fully removed.
- The bid at $16 remains with 2 apples.
- The sell order is fully removed
A Crucial Clarification
The sell order was submitted at $17 and execution did begin at $17
However, the reported price ends at $16 because that is the price of the last recorded trade
The reported price reflects the price of the most recent execution, not the best price that occurred earlier during execution.
Lessons 12 and 13 Comparison
| Aspect | Lesson 12 | Lesson 13 |
|---|---|---|
| Which side arrives first | Ask orders | Bid orders |
| Which side arrives later (incoming order) | Buy order | Sell order |
| Incoming order type | Buy | Sell |
| Incoming order limit | Maximum price buyer is willing to pay | Minimum price seller is willing to accept |
| Resting side before execution | Asks at multiple prices | Bids at multiple prices |
| Price priority rule | Lowest ask executes first | Highest bid executes first |
| Time priority rule | Earlier ask executes first when prices are equal | Earlier bid executes first when prices are equal |
| Execution direction | From lowest price upward (toward worse prices) | From highest price downward (toward worse prices) |
| Can one order execute at multiple prices? | Yes | Yes |
| Can execution skip price levels present in the book? | No | No |
| Does execution stop early? | Yes, when incoming buy order is fully filled | Yes, when incoming sell order is fully filled |
| Does the limit price guarantee execution at that price? | No | No |
| Is the limit price always reported? | No | No |
| What determines execution price | Price of the resting ask being consumed | Price of the resting bid being consumed |
| Reported price after execution | Price of the last trade executed | Price of the last trade executed |
| Orders matched during execution | Resting asks priced at or below the buy order’s limit that are reached under price-priority execution | Resting bids priced at or above the sell order’s limit that are reached under price-priority execution |
| Orders remaining after execution | Asks and bids that were not reached before the buy order was fully executed | Bids and asks that were not reached before the sell order was fully executed |
| Effect of the incoming order | Introduces a buy order that may match against existing asks under price-priority rules | Introduces a sell order that may match against existing bids under price-priority rules |
| Trade tape behavior | Multiple discrete trades recorded | Multiple discrete trades recorded |
Lesson 12 and Lesson 13 describe the same execution mechanism applied to opposite sides of the book; only the direction of price traversal changes.