Not catching sell


TSLA $680. Jumps to $695
Have shares that needed to be sold at $681, $685… everything UNDER $695, yet it’s not being sold. This happened 6 times in less than a hour.

Any explanation. I could have made $6k.

*** Yes, I am going off Alpaca’s ticker. I’ve watched this happened for months.

How and where and at what price an order fills is complicated. Contrary to the popular euphemism of a single market, there are hundreds of parties which can match buyer and seller orders. It’s actually this large number of ‘execution venues’ which can make filling orders, especially small odd lot orders, challenging.

I’ll make some assumptions (but do correct this if wrong). There were multiple sell limit orders, at various prices $681, $685, etc all with a limit price less than $695. These were all odd lot orders with a quantity less than 100. They were all entered at the beginning of the day, or at least at a time when the limit price was not within the NBBO spread.

Here would be my take on why the orders never filled.

  • There really weren’t that many orders filled above $680 during market hours. See the Yahoo chart below. Only during the first 15 minutes of trading were there ever trades over $680. Just not enough buyers willing to pay anything more than that.

  • These were ‘odd lot’ limit orders for less than 100 shares. Odd lot orders are sort of second class citizens in the order world. They are not required to be posted and aren’t used in calculating the NBBO pricing. If an execution venue receives an odd lot order it’s often invisible to the rest of the market. This is where the large number of execution venues can hamper odd lot orders. Instead of acting like a single fluid market it’s more like hundreds of small markets. If one’s sell order landed where there wasn’t a corresponding buy order, it may not fill. Round lot orders, on the other hand are visible to the entire market and therefore get filled transparently between execution venues.

  • These were ‘un-marketable’ limit orders which, when submitted, were outside of the current NBBO spread. If they had been ‘marketable’, the orders would have been turned into market orders and then matched with existing limit orders. Market orders generally drive the process. An execution venue tries to match market orders with existing limit orders. Not the other way around.

Two things that can be done to maximize the chances an order will fill are 1) trade in round lot orders and 2) watch the NBBO price spread and adjust the limit price to be within the spread. Limit orders placed within the spread will be ‘marketable’ and turned into market orders and have a higher probability of being filled.

It should be noted that submitting a limit order carries no guarantee it will ever be filled. This is especially true of odd lot orders. Odd lot orders are not required to be treated the same as round lot orders. If you are not trading in multiples of 100 shares, your limit order is a second class citizen. I also highly recommend anyone who is an active trader to read the book “After the Trade is Made”. It details the inner workings of how trades are executed once they are submitted.

That probably doesn’t make up for loosing a profit opportunity but might help in placing future orders.