Match Steps and Examples

Match Steps

  • Step 0: no match for one side market, or market without crossed order book

  • Step 1: Maximum matched volume. The Equilibrium Price (EP) should be the price at which the maximum volume can be traded. In the case of more than one price level with the same executable volume, the algorithm should go to step 2

  • Step 2: Minimum surplus. In the case of more than one price level with the same maximum executable volume, the EP should be the price with the lowest surplus (imbalance) volume. The surplus is absolute leftover volume at the EP. If multiple surplus amounts have the same lowest value, precede to step 3.

  • Step 3: Market Pressure. If multiple prices satisfy 1 and 2, establish where market pressure of the potential price exists. Surplus with a positive sign indicates buy side pressure while surplus with a negative sign indicates sell side pressure.

    • For scenarios that all the the equivalent surplus amounts are positive, if all the prices are below the reference price plus an upper limit percentage (e.g. 5%), then algorithm uses the highest of the potential equilibrium prices. If all the prices are above the reference price plus an upper limit, use the lowest price; for other cases, use the reference price plus the upper limit.
    • Conversely, if market pressure is on the sell side, if all prices are above the reference price minus a lower percentage limit, then the algorithm uses the lowest of the potential prices. If all the price are below the reference price minus the lower percentage limit, use the highest price, otherwise use the reference price minus the lower percentage limit.

    If both positive and negative surplus amounts exist, precede to Step 4.

  • Step 4: When both positive and negative surplus amounts exists at the lowest, if the reference price falls at / into these prices, the reference price should be chose, otherwise the price closest to the reference price would be chosen.

Examples

The chosen price level row would have * on the deciding colume.

1. Choose the largest execution (Step 1)
-------------------------------------------------------------
SUM    SELL    PRICE    BUY    SUM    EXECUTION    IMBALANCE
300            100      150    150    150          -150
300            99              150    150          -150
300    250     98       150    300    300*         0
50     50      97              300    50           250

2. Choose the largest execution (Step 1)
--------------------------------------------------------------
SUM    SELL    PRICE    BUY    SUM    EXECUTION    IMBALANCE
300            100      150    150    150          -150
300            99       50     200    200          -100
300            98              200    200          -100
300    200     97       300    500    300*         200
100    100     96              500    100          400


3. the least abs surplus imbalance (Step 2)
--------------------------------------------------------------
SUM    SELL    PRICE    BUY    SUM    EXECUTION    IMBALANCE
1500           102      300    300    300          -1200
1500           101             300    300          -1200
1500           100      100    400    400          -1100
1500           99       200    600    600          -900
1500   250     98       300    900    900          -600
1250   250     97              900    900          -350
1000   1000    96              900    900          -100*

4. the least abs surplus imbalance (Step 2)
--------------------------------------------------------------
SUM    SELL    PRICE    BUY    SUM    EXECUTION    IMBALANCE
110            102      30     30     30           -80
110            101      10     40     40           -70
110            100             40     40           -70
110            99       50     90     90           -20
110    10      98              90     90           -20
100    50      97              90     90           -10*
50             96       15     105    50           55
50     50      95              105    50           55

5.1 choose the lowest for all the same value of sell surplus imbalance, reference price is 80
and 5% lower limit (Step 3)
--------------------------------------------------------------
SUM    SELL    PRICE    BUY    SUM    EXECUTION    IMBALANCE
50             102      10     10     10           -40
50             101             10     10           -40
50             100             10     10           -40
50             99              10     10           -40
50             98              10     10           -40
50             97       10     20     20           -30
50             96              20     20           -30
50     50      95              20     20           -30*

5.2 choose the highest for all the same value of sell surplus imbalance, reference price is 100
and 5% lower limit (Step 3)
--------------------------------------------------------------
SUM    SELL    PRICE    BUY    SUM    EXECUTION    IMBALANCE
50             99       10     10     10           -40
50             98              10     10           -40
50             97              10     10           -40
50             96              10     10           -40
50             95              10     10           -40
50             94       10     20     20           -30*
50             93              20     20           -30
50     50      92              20     20           -30

5.3 choose the reference price for all the same value of buy surplus imbalance, reference price is 90
and 5% upper limit (Step 3)
--------------------------------------------------------------
SUM    SELL    PRICE    BUY    SUM    EXECUTION    IMBALANCE
50             99       100    100    50           50
50             98              100    50           50
50             97              100    50           50
50             96              100    50           50
50             95              100    50           50*
50             94              100    50           50
50             93              100    50           50
50     50      92              100    50           50

5.4 choose the reference price for all the same value of sell surplus imbalance, reference price is 100
and 5% lower limit (Step 3)
--------------------------------------------------------------
SUM    SELL    PRICE    BUY    SUM    EXECUTION    IMBALANCE
50             101      10     10     10           -40
50             100             10     10           -40
50             99              10     10           -40
50             98              10     10           -40
50             97              10     10           -40
50             96       10     20     20           -30
50             95              20     20           -30*
50     50      94              20     20           -30

6.1 choose the closest to the last trade price 99 (Step 4)
--------------------------------------------------------------
SUM    SELL    PRICE    BUY    SUM    EXECUTION    IMBALANCE
50             100      25     25     25           -25
50             99              25     25           -25*
50     25      98              25     25           -25
25             97       25     50     25           25
25             96              50     25           25
25     25      95              50     25           25

6.2 choose the closest to the last trade price 97 (Step 4)
--------------------------------------------------------------
SUM    SELL    PRICE    BUY    SUM    EXECUTION    IMBALANCE
50             100      25     25     25           -25
50             99              25     25           -25
50     25      98              25     25           -25
25             97       25     50     25           25*
25             96              50     25           25
25     25      95              50     25           25