fintech-algorithms
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Order Lifecycle and Queue State

6 algorithms in Matching Engines and Venue Logic.

In this family#

  1. Limit-Order Lifecycle State Machine contract

    Replays an order's events into its state history — new, partially filled, replaced, cancelled, done. The value is rejecting *invalid* transitions: a fill after a cancel is a bug somewhere upstream, and it must not be absorbed silently.

    limitOrderLifecycle(orderIdRaw, orderQuantityRaw, eventsRaw)
  2. Cancel/Replace Priority Rule contract

    Decides whether an amendment keeps queue position. Reducing quantity usually keeps it; raising quantity or changing price loses it. This one rule determines whether an amend is nearly free or extremely expensive.

    cancelReplacePriority(originalRaw, replacementRaw)
  3. Partial-Fill and Residual-Quantity Processing contract

    Tracks cumulative fills against an order and computes the residual. Over-fill is impossible on a correct venue, so detecting it is detecting a defect rather than handling a case.

    partialFillResidual(orderQuantityRaw, fillsRaw)
  4. Queue Position and Ahead-Volume Calculation contract

    How much volume sits ahead of a given order at its price. This is the number that decides fill probability under price-time priority — position in the queue, not distance from the touch.

    queuePositionAheadVolume(ordersRaw, targetIdRaw)
  5. Iceberg/Reserve-Order Replenishment contract

    Manages a hidden reserve that refills the displayed quantity as it fills. The trap is priority: on most venues each replenishment goes to the **back** of the queue, which is the cost of hiding size.

    icebergReplenishment(totalRaw, initialRaw, displaySizeRaw, fillsRaw, priorityRaw)
  6. Marketable-Order Multi-Level Sweep contract

    Walks a marketable order across price levels until filled or exhausted — the matching-engine counterpart of the expected-fill-price calculation, producing actual fills rather than an estimate.

    marketableOrderSweep(incomingRaw, restingRaw)

What they share#

Every topic here is a record-transform, so once you have called one the rest follow the same shape. Import paths differ only in the final segment:

ts
import { limitOrderLifecycle } from "fintech-algorithms/matching-engines-and-venue-logic/order-lifecycle-and-queue-state/limit-order-lifecycle-state-machine";
import { cancelReplacePriority } from "fintech-algorithms/matching-engines-and-venue-logic/order-lifecycle-and-queue-state/cancel-replace-priority-rule";

Read them in the order above — the sequence is pedagogical, not alphabetical.

Where this sits#

Matching Engines and Venue Logic collects 21 algorithms across 4 families. For the concept behind this family rather than the call signatures, see the concept guides.