🎯 How your order gets filled on NSE, and how to check you got a fair price

🎯 In 30 seconds: In India your broker sends your order to a stock exchange, where it joins an order book and is matched by price-time priority: the best price goes first, and at the same price the earliest order goes first. A trade always happens at the price of the order that was already waiting. Exchanges add safety checks, such as price bands and limits on how far a market order can run, so a single careless order cannot cause a freak trade. You can check your own fill: compare it with the quote at that moment, work out the slippage, and match the trade time and price on your contract note with the exchange's trade alert. Your order type and timing matter far more than anything else.

Where this fits

How the Indian market works introduced the players: brokers, NSE and BSE, the clearing corporations and the depositories. Bid, ask, market depth and liquidity explained the order book and the spread. This chapter follows one order through that machinery and shows you how to check that you were treated fairly.

One big difference from the US is worth stating up front. In the US, many retail orders go to wholesale market makers who trade against them, and brokers can be paid for sending that flow. India's cash market does not work that way. NSE describes its trading system, NEAT+, as an order driven market rather than a quote driven one: buyers and sellers meet in the exchange's book. SEBI's system audit checklist for brokers' smart order routing requires that it does not release orders to venues other than recognised stock exchanges. If you want the US side for comparison, see the US version of this chapter.

One order, start to finish

Think of a busy sweet shop on Diwali morning. Customers queue at the counter. Whoever offers the asking price gets served, and among people offering the same, whoever came first. The order book works the same way, only in microseconds.

1. Your app sends the order to your broker with your client code, the stock, quantity, order type and price.
2. Your broker checks you have the funds or margin, that the order is allowed for your account, and its own limits on order size and price.
3. The exchange checks the price against the stock's price band and other parameters. Orders outside them are rejected.
4. The order book. If a matching order is waiting on the other side, a trade happens. If not, your limit order waits in the book in price-time order.
5. Clearing and settlement. The clearing corporation becomes the buyer to every seller and the seller to every buyer, and shares and money move on settlement day. Market hours and settlement covers T+1.
6. Confirmation. You get a contract note from the broker and, separately, an alert from the exchange.

Price-time priority, and why you trade at the waiting price

NSE's description of its trading system is precise. Orders are numbered and time-stamped on arrival. Unmatched orders are stored by best price first, then by time. The best buy order is the highest-priced one and the best sell order the lowest-priced one. An order already sitting in the book is passive; an order that arrives and matches it is active. Trades always happen at the passive order's price, which rewards whoever was there first.

Here is a hypothetical book for Sharma Foods Ltd at 11 am. The tick size, the smallest price step, is ₹0.05 for this stock. Since 15 April 2025 NSE has set tick sizes by price band: ₹0.01 below ₹250, ₹0.05 from ₹250 to ₹1,000, and larger steps for higher-priced shares, up to ₹5 above ₹20,000. It reviews each stock's tick size every month.

The best bid is ₹512.40 and the best ask ₹512.55. The spread is ₹0.15 and the midpoint ₹512.475. If you send a limit buy at ₹512.70 for 100 shares, you do not pay ₹512.70. You meet the waiting seller at ₹512.55, because that is the passive price. Your higher limit only says how far you were willing to go.

Measuring your fill: slippage and effective spread

Now you send a market order to buy 1,000 shares. Only 250 are offered at the best ask, so the order works up the book:

Two numbers tell you how that went.

• Slippage against the quote you saw = your average price minus the best ask (for a buy). Here ₹512.6225 − ₹512.55 = ₹0.0725 a share, or ₹72.50 on the order.
• Effective spread = 2 × the distance from your average price to the midpoint. Here 2 × (₹512.6225 − ₹512.475) = ₹0.295, about 0.06% of the price. It is what a round trip at this quality would cost, before brokerage and taxes.

₹72.50 is small on a ₹5 lakh order in a liquid stock. In a thinly traded stock the same order can cost far more. That is why a limit order matters more than anything else you can choose. Order types in depth shows how to use one.

A third yardstick is the stock's VWAP, the volume-weighted average price for the day, which NSE shows on the quote page as the average price. If you bought during the day and paid above the day's VWAP, you paid more than the average trade did. It is a rough comparison, because you cannot know the VWAP until the day ends.

The exchange's safety checks, and why freak trades are rarer now

A freak trade is a trade far away from the fair price, usually caused by a market order meeting an empty book or a typo in price or quantity. Exchanges have layers of checks to stop them:

• Price bands. Most stocks have a daily band of 2%, 5%, 10% or 20% either way, and orders outside it are rejected. Stocks with derivatives have no fixed daily band, but NSE applies an operating range (10%, per its price bands page) to stop orders at non-genuine prices. The rules every Indian trader runs into has the details.
• Market Price Protection (MPP) in the cash market. Since 9 January 2023, an NSE market order can only trade up to a set distance from the last traded price: for stocks above ₹50, 3% of the last traded price; for stocks at ₹50 or below, ₹1.50. Whatever cannot fill within that range is cancelled. Market orders are rejected outright in a stock that has not traded yet that day.
• Limit Price Protection (LPP) in futures and options. Limit orders far from a reference price, recomputed through the day, are rejected. For index options it is ±₹20 when the reference price is ₹50 or less, and ±40% above that, as set in October 2022.
• Your broker's own checks on order value, quantity and price distance, which are often tighter than the exchange's.

These values are exchange parameters that can change, so treat the numbers above as dated. The point is the idea: a market order in India is not unlimited. Here is what MPP does in a thin stock, hypothetical Joshi Plastics Ltd, last traded at ₹42.00:

Without the protection, you would have paid ₹43.60 for the rest, almost 4% above the last trade, in one click. With it, you are left with a partial fill and a decision to make. A limit order would have made that decision for you in advance.

Checking your trade: contract note and exchange alerts

You have two independent records of every trade, and comparing them is the simplest check you can do.

• The contract note from your broker. SEBI's rules require it within one working day of the trade (24 hours of execution in the older wording), in the exchange's format. It must show the order number, trade number, trade time, trade price and quantity, the client code, brokerage and every charge. What trading really costs walks through one line by line.
• The exchange alert. NSE sends retail clients who traded that day an SMS and email after market hours, using the mobile number and email your broker registered with the exchange. The email has trade-level details. NSE's Verify your Trades tool on its website also lets you check trades from T+1, covering the last ten trading days.

What to compare: the trade time and price on the contract note, the price on the exchange alert, and the quote you saw. If a trade appears that you did not place, or the price does not match, write to your broker at once and keep the email. Who runs and polices the market explains the complaint routes after that.

Try it

For your next three trades, real or on paper, take a screenshot of the market depth just before you send the order. Afterwards:

1. Work out the slippage and the effective spread from your fill, as in the Sharma Foods example.
2. Match the trade number, time and price on the contract note with the exchange SMS or email you received that evening.
3. Use NSE's Verify your Trades tool the next day to check the same trades.
4. Note the day's VWAP for the stock and whether you paid above or below it.

Keep the results in your trading journal. After ten trades you will know whether market orders are costing you money.

Sources

• NSE: Trading System (order books, price-time priority, order matching rules)
• NSE: Pre-open session
• NSE circular NSE/CMTR/54851: Pre-trade risk controls, Market Price Protection (16 December 2022)
• NSE circular NSE/CMTR/55069: Update on Market Price Protection (30 December 2022)
• NSE circular NSE/FAOP/54242: Limit Price Protection (28 October 2022)
• NSE circular NSE/CMTR/67133: Revision in tick size of securities in CM segment (13 March 2025)
• NSE: Price Bands
• SEBI: Master Circular for Stock Brokers (June 2025), contract notes and smart order routing audit
• NSE: Verify your Trades
• NSE: Trade Alerts