Five reasons a limit order gets touched and stays unfilled

[Fairman]

Five reasons a limit order gets touched and stays unfilled

Price touched the level. The chart shows it clearly. The order is still pending.

1. The chart draws the bid, but a buy limit fills against the ask. The ask never reached the level.
2. Queue position. Other orders sat ahead and ate all the size available at that price.
3. The feed that printed the touch was not the feed the broker executes against.
4. A one-tick wick that existed in the data but never had real size behind it.
5. Last look. The provider declined to fill a trade that would immediately have been profitable for the client.

A touch is not a trade-through. Only trade-through reliably fills.

Some scalpers place limits a tick or two inside the visible level to jump the queue. Others accept the misses as the price of getting good entries when they do fill. Each choice shifts the hit rate and the average edge.

Logging touches versus fills for a month produces a number worth knowing: what share of touched limits actually fill, pair by pair.

A fair question is which of the five is most common. Logs from different traders tend to point at the first two: the bid versus ask mismatch and queue position. The first is easy to fix by adding the ask line to the chart. The second is a feature of how limit orders work, and the only cure is placing the order slightly inside the level or accepting some misses.

The fifth deserves a bit more suspicion than the others. A limit that touches and does not fill is annoying. A limit that touches, does not fill, and then watches price move sharply in the trader's favour is a pattern that deserves a proper log.

One more habit: after any unfilled touch, check the tick data for that second. If the ask never reached the level, the explanation is simple. If it did and there was no fill, a question for support is justified, and the timestamp makes it a good one.

How often do touched limits go unfilled, and does the share change by pair or time of day?