Intermarket sweep order
What is an intermarket sweep order?
It's an order that sweeps across the market place, picking up as many shares as possible at the best prices available using an algorithm. It's a sort of digital exception to the 'order protection rule' that says orders have to be filled at the lowest possible price.
Where have you heard about intermarket sweep orders?
Intermarket sweep orders (ISOs) are often spoken of as a device used by sophisticated traders, as here in this Financial Times comment piece from 2014. You may also have heard of ISOs in connection with high-frequency trading.
What you need to know about intermarket sweep orders.
As an example: you want to buy 100 shares of a stock, put in an order, but only 10 shares are available at the lowest price of £1. A standard 'order protection rule' would only let you buy those shares, even if 90 shares are available on another exchange for £1.10. An intermarket sweep order would be able to buy the 10 shares at £1, but also the 90 shares on the other exchange for £1.10, getting you all the shares you want. ISOs tend to be used by institutional traders rather than small retail investors.