Why Nasdaq ITCH Executed-Price Messages Can Differ from Order Prices

Summary

The document describes an apparent inconsistency when reconstructing a Nasdaq order book from ITCH messages. An order is added at one ask price, partially filled through a standard execution message, then its remaining quantity is reported as executed at a different price through an executed-at-price message. With no intervening modification, the parser has no displayed order at the reported execution price to decrement.

The answer attributes this kind of price difference to Regulation NMS rules and points to price-to-comply orders as an example. This suggests the displayed order price and execution price may diverge because of market rules governing order handling. The exchange does not explain the rule mechanics or provide enough detail to determine how to reconcile the specific book state, so ITCH implementers would need to consult the relevant specifications and order-type documentation.

Key ideas

• An ITCH executed-at-price message can report a fill price different from the order’s original displayed price.
• The example raises a book-reconstruction issue when the order has no intervening modification.
• The response links such price differences to Regulation NMS and price-to-comply behavior.
• The document does not provide a complete reconstruction rule for the example.

Tags

# ITCH feed, price executed at different to original order?


# ITCH feed, price executed at different to original order?












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:

## Answer by LazyCat (score 1)

https://quant.stackexchange.com/a/34756

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