NASDAQ ITCH Executed-With-Price Messages and Displayed Limits

Summary

The document raises an apparent mismatch in NASDAQ ITCH data: an ask order is added at a limit of ten dollars, yet an executed-with-price message reports a fill one cent lower. It highlights a microstructure and data-interpretation question about how execution messages should be read relative to displayed order prices.

No answer or resolution is included, so the example does not establish why the reported execution price differs. It offers no further details about the message fields, trade conditions, order modifications, or relevant market rules. Researchers should treat it as an unresolved observation rather than evidence that a limit order was filled through its limit.

Key ideas

• The question concerns interpreting executed-with-price messages in NASDAQ ITCH data.
• The example reports an ask added at ten dollars and an execution recorded one cent lower.
• The document provides no explanation or supporting evidence for the apparent price discrepancy.
• The example alone does not establish that the displayed limit order was executed below its limit.

Tags

# Why is limit price order been executed with a worse price?


# Why is limit price order been executed with a worse price?












recently I was trying to analysis the message data from NASDAQ ITCH data, but I find a problem with a type of message called "Executed With Price Message".

For example, first there is an Add Order Message, place a limit price ask order at price 10 dollar, then there is an Executed With Price Message tell that limit order has been executed at price 9.99 dollar which is 1 cent worse than the limit order. Could someone explain to me why this happens.

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