A limit order that only partly fills

Question

The offer side of a stock looks like this:

Side	Price	Size
Ask	$10.00$	$300$
Ask	$10.02$	$400$
Ask	$10.05$	$500$

You send a buy limit order at $10.02$ for $1{,}000$ shares.

How many shares fill, at what average price, and what happens to the remainder?

Accepted Answer

The limit at 10.02 is marketable (above the best offer), so it crosses the spread and consumes offers in price order, but only up to its limit price: - 300 shares at 10.00 = \3{,}000 - 400 shares at 10.02 = \4{,}008 That fills 700 shares for \7{,}008, an average of \frac{7{,}008}{700} = \10.0114. The next level, 10.05, is above the 10.02 limit, so the order refuses it. The remaining 1{,}000 - 700 = \mathbf{300} shares do not fill; they rest on the book as a new bid at 10.02, and now sit at the top of the bid side waiting for a fresh seller to come to them. This is the limit order's built-in p…

A limit order that only partly fills

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