FIFO matching

We briefly described the FIFO algorithm previously, but let's expand on it by showing an example. Assume the following state of an order book when the exchange bid orders A, B, and C were entered at price 10.00 in that order in time. So, at the same price, order A has a higher priority than order B, which has a higher priority than order C. Bid order D is at a worse price, 9.00. Similarly, on the ask side, order X was entered at price 11.00 before order Y, also at price 11.00. Hence, order X has a higher priority than order Y, and then ask order Z was entered at a worse price, 12.00:

BIDS

ASKS

Order A: Buy 1 @ 10.00

Order X: Sell 1 @ 11.00

Order B: Buy 2 @ 10.00

Order Y: Sell 2 @ 11.00

Order C: Buy 3 @ 10.00

Order Z: Sell 2 @ 12.00

Order D: Buy 1 @ 9.00

Assume an incoming sell order K for 4 shares @ 10.00 would match against order A for 1 share, order B for 2 shares, and order C for 1 share, in that order, under FIFO matching. At the end of the matching, order C would still have the remaining size of 2 shares at price 10.00 and will have the highest priority.

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