Why a Sell Limit Order Can Remain Unfilled Above Its Limit Price
Summary
A stock’s reported high trade price can exceed a resting sell limit price even though that particular order receives no execution. The explanation gives two market mechanics that can account for this apparent contradiction. First, some large trades may be reported after they have already been completed, so the time ordering on a trade tape may differ from the order in which trading activity occurred.
Second, exchanges apply priority rules to orders. At the same limit price, an earlier order may have precedence over a later one, leaving the later order unfilled while trades are reported at higher prices. The answer is a concise set of possible explanations rather than a complete account of every exchange’s reporting practices or priority rules. Actual handling depends on venue rules and the specific trade and order data being examined.
Key ideas
- Trade reports may appear on the tape after the underlying execution occurred.
- Large trades can be reported only after completion, obscuring their timing relative to displayed orders.
- Exchange priority rules can give an earlier order at the same price precedence over a later order.
- A higher reported trade price alone does not prove that a particular sell limit order should have filled.
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# Answer by Dave Harris (score 1) # Why the highest transaction price of stock in a time period can be higher than a sell limit order price, but the order is not filled? 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? ## Answer by Dave Harris (score 1) https://quant.stackexchange.com/a/66453 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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