If an order is placed that exceeds the market depth (all exchanges combined), where will it be sent?

If the amount of an order is greater than the market depth (of all exchanges), the order will be split on the basis best price and depth. The remaining quantity will then be sent to the exchange with the higher market depth.

Illustration

Market Depth

BSE    NSE
Qty    Rate    Qty    Rate
100    100    150    99
 

Order: Purchase 500

For the best price of 99, 150 quantities in NSE are available

100 BSE quantities available at the best price of 100

As the initial total NSE quantity is greater, 250 quantities are being sent to NSE.