Exchange matching algorithm

When incoming bids are at or above the best (lowest price) ask orders, then a match occurs. Conversely, when incoming asks are at or below the best (highest price) bid orders, then a match occurs. Incoming aggressive orders continue to match against existing passive orders in the book until one of these two conditions is met. Either the new aggressive order is fully matched, or the other possibility is that the remaining orders on the opposite side have prices worse than the incoming order price and, hence, the match cannot occur. This is because of the fundamental rule that an order cannot be matched at a price worse than the limit price it was entered at. Now, as far as orders at the same price level are concerned, the order of matching is dictated by what matching algorithm rules the exchange adopts.

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