Discriminatory Pricing Rule
December 5, 2008
In his discussion of continuous order matching systems Harris describes the discriminatory pricing rule on p126: “the limit price of the standing order determines the price of each trade. If the market matches a large incoming order with several standing limit orders placed at different prices trades will take place at the various limit order prices.”
Which means no price improvement for standing orders at best bid if an incoming marketable sell limit order matches one or two levels off best bid.