Matching Engines and Venue Logic
21 algorithms · 4 families · D12
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matching-engines-and-venue-logic/llms.txt lists all
21 algorithms here — signature, shape and verification tier, one line each.
Every reference page below also exists as markdown at <page URL>index.md.
Continuous Matching#
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Price-Time Priority
verified
priceTimePriority(incomingRaw, restingRaw) -
Pro-Rata Matching
verified
proRataMatching(incomingRaw, priceRaw, lotRaw, restingRaw) -
Size-Time Priority
verified
sizeTimePriority(incomingRaw, priceRaw, lotRaw, restingRaw) -
Hybrid Pro-Rata/Time Matching
verified
hybridProRataTime(incomingRaw, priceRaw, lotRaw, fractionRaw, restingRaw)
Auctions#
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Maximum-Executable-Volume Auction
verified
maximumExecutableVolumeAuction(ordersRaw, referenceRaw, tickRaw) -
Minimum-Imbalance Tie-Break
verified
minimumImbalanceTieBreak(ordersRaw, referenceRaw, tickRaw) -
Opening-Cross Price
verified
openingCrossPrice(orders, previousClose, tick, low, high) -
Closing-Cross Price
verified
closingCrossPrice(orders, reference, tick, low, high) -
Volatility-Auction Reopening
verified
volatilityAuctionReopening(inputs)
Order Controls#
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Tick-Size Validation
verified
tickSizeValidation(price_atoms, tick_size_atoms, price_scale, effective_policy_id) -
Price-Band Validation
verified
priceBandValidation(side, limit_price_atoms, lower_band_atoms, upper_band_atoms, band_as_of_ns, inclusive) -
Self-Trade Prevention
verified
selfTradePrevention(incoming_order, resting_orders, mode) -
Cancel-on-Disconnect
verified
cancelOnDisconnect(disconnected_session_id, disconnect_type, trigger_disconnect_types, policy, orders) -
Fat-Finger Limit
verified
fatFingerLimit(side, limit_price_atoms, reference_price_atoms, quantity, max_quantity, max_notional_atoms, max_aggressive_deviation_bps) -
Circuit-Breaker Trigger
verified
circuitBreakerTrigger(reference_close_atoms, current_index_atoms, level_thresholds_bps, previously_triggered_level)
Order Lifecycle and Queue State#
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Limit-Order Lifecycle State Machine
verified
limitOrderLifecycle(orderIdRaw, orderQuantityRaw, eventsRaw) -
Cancel/Replace Priority Rule
verified
cancelReplacePriority(originalRaw, replacementRaw) -
Partial-Fill and Residual-Quantity Processing
verified
partialFillResidual(orderQuantityRaw, fillsRaw) -
Queue Position and Ahead-Volume Calculation
verified
queuePositionAheadVolume(ordersRaw, targetIdRaw) -
Iceberg/Reserve-Order Replenishment
verified
icebergReplenishment(totalRaw, initialRaw, displaySizeRaw, fillsRaw, priorityRaw) -
Marketable-Order Multi-Level Sweep
verified
marketableOrderSweep(incomingRaw, restingRaw)