Marketable limit order

Definition

A buy limit priced at or above the best ask, or a sell limit priced at or below the best bid, can trade at once, so the matching engine treats it as an incoming aggressive order. It walks the opposite side of the book level by level, but never beyond its limit. What remains unfilled at the limit is not canceled, unless an IOC or FOK instruction says so: it joins the book at the limit price and waits, now as passive liquidity.

CME describes a close relative in its futures documentation, the market-limit order, which executes at the best price available and, if it can only be partially filled, becomes a limit order for the remainder.

A worked example

The ask side shows 6 contracts at 5,000.00, 5 at 5,000.25 and 20 at 5,000.50. A buy of 15 with a limit of 5,000.25 takes 6 contracts at 5,000.00 and 5 at 5,000.25, 11 in total at an average of about 5,000.11. The remaining 4 contracts cannot be bought within the limit, so they rest as a bid at 5,000.25. The offer at 5,000.25 has been consumed, the best ask is now 5,000.50, and the trader's 4-lot bid has become the best bid.

One order, both sides of the footprint

The 11 contracts filled on arrival are aggressive buys: they print on the ask side of the footprint and add 11 to delta. If a seller later hits the resting 4-lot bid, those 4 contracts print on the bid side as aggressive selling, because the seller is now the aggressor. The same limit order has therefore contributed positive delta when it arrived and negative delta when its remainder filled. Delta measures who crossed the spread at each trade, not the intentions of any one participant.

In Senzoukria

Any Limit order in the full ticket priced at or through the best opposite price is marketable. The ticket shows a derived bid and ask one tick either side of the last trade from the chart feed, which is not the real top of book; the DOM ladder on the Trading page shows the actual book. The quick ticket's touch-limit buttons are also priced one tick either side of the last trade, so depending on where the true bid and ask sit, such an order may rest or may cross. The compact order pad refuses its BID / ASK cells unless a qualified, fresh best bid and ask is available, so that a label promising the best price never sends an order elsewhere.

Common mistakes

• Assuming a limit order always rests. Priced through the market, it is an aggressor like a market order, capped.
• Forgetting the remainder: with a DAY or GTC time in force, the unfilled part stays working after the fast market has passed.
• Protecting the full intended size when only part filled.