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Sometimes a sell limit order is not filled in a period even when the highest transaction price is higher than the limit order price. I don't understand why this could occur.

The fact that the transaction of the higher price occurs even when there is sell limit order price with a lower price means that somebody want to buy at a higher price instead of the lowest price. This does not make sense to me.

Could anybody help explain?

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  • $\begingroup$ Where (location, venue) did you see this happening? $\endgroup$
    – Bob Jansen
    Aug 12 at 13:33
  • $\begingroup$ The unfilled sell order was submitted to citadel by a broker. But a transaction with a higher price occured in NYSE. $\endgroup$ Aug 15 at 14:34
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There are a couple of possible explanations. The first is that the order that you observed was "off the tape." That is to say, it was a large order that was filled earlier but the recording of the order did not happen until after filling it was complete. The ticker isn't the true order in which orders appeared, it is the order of reporting. For small orders, it is the true order. Large orders can be taken off the tape and filled over the day. They are not reported until after completion.

A second answer is that there are rules of precedence on the various exchanges. If I put in a limit order at 10 and 10 am and you put in a limit order at 10 at 11 am, my order will fill first. Even if both limit orders were active, if a higher precedence order is unfilled, your order will wait until that order is completed. It is possible your order will never fill even though trades happened at a higher price.

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