How Matching Events Determine a Market’s Last Traded Price

Summary

The document asks how an exchange updates the displayed last price when a market order consumes liquidity at multiple price levels. It distinguishes the time an order finishes executing from the individual matching events that occur as the order fills against resting limit orders. The question also notes that conditional orders may make the update sequence more complex.

It provides no answer or exchange-specific rules, so it does not establish a universal convention for timestamps or last-price updates. In practice, the relevant definition depends on the venue’s matching engine and market data feed, and users should distinguish trade-level prices from order-level completion events. The document raises a microstructure issue but does not present evidence, a calculation method, or a particular venue’s behavior.

Key ideas

• A single market order can execute against resting orders at multiple prices.
• The last traded price may be associated with individual fills rather than completion of the incoming order.
• Conditional orders can complicate the sequence of matching and reported events.
• The document asks the question but supplies no exchange-specific answer.

Tags

# Precise calculation of the last price


# Precise calculation of the last price












This might sound like a rather trivial question but how exactly is the last price in a market (let's assume stocks) quoted? "The last transaction" is not really precise.

Let's assume there is a market with two limit orders with a volume of X each and I have a market order over 2X. I will fill both orders. Is the last price quoted at

- the time I fill the second order, therefore finish the orderbook transaction for MY order

- the time the second order gets filled, but the system time for the order before is also giving a last price for the limit price of the first order ?

This becomes a little more complicated once at and other "conditional" orders come into place

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.