哪些是匹配算法最常用的电子金融交流秩序？ [英] Which are the order matching algorithms most commonly used by electronic financial exchanges?
问题描述
这是匹配算法的顺序最常用的电子金融交流？ 是否有为了匹配算法列表地方？
Which are the order matching algorithms most commonly used by electronic financial exchanges? Is there a list of order matching algorithms somewhere?
推荐答案
在一般情况下，有两组匹配算法，一个用于每个市场的状态：
In general, there are two groups of matching algorithms, one for each of the states of the market:
- 在连续交易
- 拍卖
有很多种算法进行拍卖交易，市场开放，市场接近等，但大部分时间，市场做的之前，它是用来连续交易的。因此，我将进入这里后一类。
There's quite a variety of algorithms for auction trading, which is used before the market opens, on market close etc. but most of the time, the markets do continuous trading. I'll therefore go into the latter category here.
最常用的是价格/时间优先和按比例。两人都被调整和延长各类产品和应用案例，但为了简便起见，我只在这里解释的基本知识。
The most commonly used ones would be Price/Time priority and Pro-Rata. Both have been adapted and extended for various types of products and use cases, but for brevity, I'll only explain the basics here.
价格/时间优先级的，又名 FIFO ，确保了
Price/Time priority, aka FIFO, ensures that
所有订单在相同的价格水平是按照时间优先填补;在一个价格水平的首要任务是匹配的第一个订单。
all orders at the same price level are filled according to time priority; the first order at a price level is the first order matched.
说出订单，按价格排序和时间如下：
Say the order book, sorted by price and time looks like this:
Id Side Time Qty Price Qty Time Side
---+------+-------+-----+-------+-----+-------+------
#3 20.30 200 09:05 SELL
#1 20.30 100 09:01 SELL
#2 20.25 100 09:03 SELL
#5 BUY 09:08 200 20.20
#4 BUY 09:06 100 20.15
#6 BUY 09:09 200 20.15
注：对于按时间排序的顺序是升序的卖方订单，下降为购买方订单，从而使具有最高优先级的顺序总是在中心和重点减少向外（向上或向下，取决于侧）。
NB: The order for sorting by time is ascending for sell-side orders and descending for buy side order, so that the order with the highest priority is always in the center and priorities decrease outwards (up or down, depending on the side).
现在想象一个新的限制，以购买250股，20.35 进来，那么它将被填补，顺序如下：
Now imagine a new limit order to "buy 250 shares at 20.35" comes in, then it will be filled, in this order:
- 100股，20.25（订单＃2）
- 100股，20.30（订单＃1）
- 50股20.30（订单＃3）
这使得订单的状态如下：
This leaves the order book in the following state:
Id Side Time Qty Price Qty Time Side
---+------+-------+-----+-------+-----+-------+------
#3 20.30 150 09:05 SELL
#5 BUY 09:08 200 20.20
#4 BUY 09:06 100 20.15
#6 BUY 09:09 200 20.15
按比例忽略的订单被放置并下发，根据其相对量补量到所有订单的价格水平的时间。再取初始订单上面，让我们匹配相同的购买250@20.35 的命令。
Pro-Rata ignores the time the orders were placed and allots fill quantities to all orders at a price level according to their relative quantities. Take again the initial order book above, and let us match the same "buy 250@20.35" order.
该填充将是：
- 100@20.25（订单＃2，留下150）
- 50@20.30（订单＃1，150×1/3 = 50）
- 100@20.30（订单＃3，150×2/3 = 100）
离开下面的订单是这样的：
Leaving the following order book like this:
Id Side Time Qty Price Qty Time Side
---+------+-------+-----+-------+-----+-------+------
#3 20.30 100 09:05 SELL
#1 20.30 50 09:01 SELL
#5 BUY 09:08 200 20.20
#4 BUY 09:06 100 20.15
#6 BUY 09:09 200 20.15
CME集团提供了一个<一个href="http://web.archive.org/web/20120626161034/http://www.cmegroup.com/confluence/display/EPICSANDBOX/Match+Algorithms">list匹配他们采用的算法，并链接到每个人的描述。
The CME group provides a list of matching algorithms they employ, and links to descriptions of each one.
有关更多的，你可能也想看看订单匹配的拉杰夫的网页相关的文件。
For more, you might also want to take a look at the "Order matching" related documents on Rajeev's pages.
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