If a large sell order hits many bids from the book, is the order filled at once? Or is it filled one bid at a time with a chance for any new orders to come in between each trade?
Answer
Most exchanges will cross a large order with numerous smaller orders so long as the large order sufficiently crosses the book to cause a fill. This is obviously dependent on specific instructions on the large order causing the cross as well as the orders on the other side of the book.
As for the second part a new order coming in should only cross with the large order if it offers price improvement over other orders in the book as they will have time priority. A single large order will sweep the other side of the book to fill and this typically happens in a single atomic step although I don't believe that there is any requirement to do so.
This is all exchange dependent. Check out Trading and Exchanges or Algorithmic Trading and DMA as both these books cover crossing mechanics in considerable detail.
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