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I am parsing an ITCH feed (Nasdaq) and I received an Add message (A) for 100@105.2 on the Ask.

Later I receive an Order Executed message (E), indicating 5 lots of the above order had been filled. No problem

I then receive an Order Executed at Price message (C), indicating the remaining 95 lots had been filled, but at price 105.3 (hence the purpose of this message is to convey fills which occurred at different prices to the order's original price).

How can an order be filled at a price different to which it was inserted? There are no modify messages for that order between the fills.

This is causing me a problem because i'm removing the quantity from my orderbook, but I have no orders at price 105.3, only 105.2. I don't understand why they weren't executed at 105.2? Is this some Nasdaq order type which will follow the market?

This is what the spec says for that message:

enter image description here

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  • $\begingroup$ It is possible, but the explanation depends on what order type you use. Also, I assume, in reality it's 105.02 vs 105.03, i.e. price difference is 1cent, not 10cents? $\endgroup$ – LazyCat Jun 18 '17 at 17:42
  • $\begingroup$ @LazyCat I'm wondering if Nasdaq have an order which will change if partially filled. So the first fill causes the sell order to increase price, without a modify message. $\endgroup$ – user997112 Jun 18 '17 at 18:30
  • $\begingroup$ Well, then that is how you should phrase the question: I need this functionality: ...(precise definition)... How do I do it on NASDAQ? 'Cause you wrote, that you've already sent an order, and it gets confusing $\endgroup$ – LazyCat Jun 18 '17 at 18:55
  • $\begingroup$ @LazyCat I'm not looking at my orders. I'm looking at a market data file, hence how i worded it. I'm still wondering if there's an order type which explains what I observed. $\endgroup$ – user997112 Jun 18 '17 at 19:00
  • $\begingroup$ OK, see my answer. $\endgroup$ – LazyCat Jun 18 '17 at 19:09
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It can happen because of regnms rules. See, for example price-to-comply (case 3) in https://www.nasdaqtrader.com/content/ProductsServices/Trading/OrderTypesG.pdf

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  • $\begingroup$ But shouldn't I see the original order price being filled? If the original order was top of book at 100 and I see a fill at 101, either the order at 100 was filled or pulled? I can't magically see a fill at 101. $\endgroup$ – user997112 Jun 18 '17 at 19:17
  • $\begingroup$ Here are a few scenarios, where you can get partial fills at different prices: 1) Your order was temporarily repriced, got a partial fill while repriced, got back to the requested level, got filled for the rest at the requested price 2) your order was crossing the book against a small order - e.g. there was 5 shares to buy at 100, you send an order to sell at 99 - 5 shares get traded at 100, rest posted at 99. $\endgroup$ – LazyCat Jun 18 '17 at 19:28
  • $\begingroup$ I have seen the same thing happen without a prior partial fill. So say an Ask is added at price 100 and then later I see a fill at 101. No fills or pulls (including partial) in between. I wonder if Nasdaq allow orders which change price according some other condition, without need for sending modify order message. That could be the only explanation, right? $\endgroup$ – user997112 Jun 18 '17 at 19:37
  • $\begingroup$ Yes, it could be an order pegged to the best ask. $\endgroup$ – LazyCat Jun 18 '17 at 19:51

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