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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

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 @ ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content