Price-Band Validation

Install and import#

npm install fintech-algorithms

import { priceBandValidation } from "fintech-algorithms/matching-engines-and-venue-logic/order-controls/price-band-validation";

Signature#

priceBandValidation(side, limit_price_atoms, lower_band_atoms, upper_band_atoms, band_as_of_ns, inclusive)

Checks a limit price against the venue's dynamic price band. Bands move with the reference price, so a valid order becomes invalid moments later — which is why the band's as-of time is part of the check.

Parameters#

Returns#

{ valid, reason, band_as_of_ns, … }

The verdict with the band version applied.

Errors#

• When the lower band exceeds the upper band — throws

Complexity: time O(1), space O(1).

Worked example#

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input#

"buy"

1020000

950000

1050000

1200000000

true

Call#

priceBandValidation(side, limit_price_atoms, lower_band_atoms, upper_band_atoms, band_as_of_ns, inclusive)

Returns#

object with 12 fields: side, limit_price_atoms, lower_band_atoms, upper_band_atoms, band_as_of_ns, inclusive, valid, distance_from_lower_atoms, …

{
  "side": "buy",
  "limit_price_atoms": 1020000,
  "lower_band_atoms": 950000,
  "upper_band_atoms": 1050000,
  "band_as_of_ns": 1200000000,
  "inclusive": true,
  "valid": true,
  "distance_from_lower_atoms": 70000,
  "distance_to_upper_atoms": 30000,
  "violation_atoms": 0,
  "reason": "inside-band",
  "state": "accepted"
}

Other exports#

This module also exports tickSizeValidation, selfTradePrevention, cancelOnDisconnect, fatFingerLimit, circuitBreakerTrigger, calculate. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.

Diagrams#

Calculation flow#

flowchart LR
    S1["Validate the ordered band"]
    S2["Apply the declared inclusiveexclusive comparison"]
    S3["Classify below inside or above"]
    S4["Return distances and source time"]
    S1 --> S2
    S2 --> S3
    S3 --> S4
    S4 --> D{"inclusive equality at each band edge"}
    D --> O["valid + diagnostics"]
    O --> A["Audit: Lower band is strictly below upper band"]

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

• Plan to Address Extraordinary Market Volatility — Limit Up-Limit Down Plan participants
• Evidence boundary

The rest of the Order Controls family#

• Tick-Size ValidationRejects a price that is not a whole multiple of the instrument's tick.
• Self-Trade PreventionStops a participant trading with itself — required by most venues, and the *mode* determines who loses their order.
• Cancel-on-DisconnectDecides which orders to pull when a session drops.
• Fat-Finger LimitBlocks obviously erroneous orders on quantity, notional and aggressive price deviation.
• Circuit-Breaker TriggerEvaluates market-wide circuit breaker levels against the index move.