algos.md

Order matching

Incoming order

• Lookup order book(all orders for this instrument)
• check margin (can this trader afford it)
• check trader has permission for account
• check expired instr
• Is order fillable?
  • Yes
    • If self match, reject (paint the tape voilation)
    • Fill as much as possible
      • update fill size of this order
      • update fill sizes of matched orders
      • insert trade rows
      • update status of orders if completed
  • Yes/No
    • insert order
    • deal with max show size

Cancel Order

• Lookup order
• check user. Reject if different
• update status as cnaceled

Final settlement

When instrument expires, book closing trades for open positions

Auctions

• Only owner of instrument can make sell offers
• Need a job that waits for expirations and settles the instruments
• order type : Market order after some time if secret reservation price is met