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February 10, 2016, 11:56:03 PM |
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I recently started using a new bitcoin exchange, which is still still small but catching up in terms of monthly volume. They are trading about 10k BTC monthly.
However, I was really surprised at the way they handled the matching of limit orders, and I wanted to know if this is something anyone had seen before on any other exchange (even on exchanges other than bitcoin exchanges).
Basically, when you place a limit buy order above the current best ask price, your order will get matched at the best price available. This is what I would have expected.
However, when you place a limit sell order below the current best bid price, your order will get matched at the price you have given instead of the price of the order against which it matches. This seems very strange to me.
Let me write up an example to make things clear:
Suppose that the current order book is as follows :
Asks: 2 BTC at $400, 1 BTC at $401, 3 BTC at $402, ...
Bids: 3 BTC at $395, 2 BTC at $394, 2 BTC at $393, ...
If I place a limit buy order for 3 BTC at $440, I will pay 2*400 + 1*401 = $1201 to buy 3 BTC, which is what I would have expected.
However, if I place a limit sell order for 4 BTC at $350, I will only receive 3*350 + 1*350 = $1400 for the 4 BTC sold (instead of 3*395 + 1*394 = $1579, which is what I would have expected). This seems very strange.
Having contacted the support of that exchange, they tell me that their system "favours the buyer".
Have anyone encountered such limit order matching behaviour? Does it make sense?
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