Continuous Matching for Baskets wp_admin
Continuous Matching for Baskets
The system will attempt to match an incoming order against existing orders in the order book. A buy order will attempt to match with the lowest priced sell order in the order book (Best Ask), and a sell order will attempt to match against the highest priced buy order in the order book (Best Bid). If the new order quantity is sufficient to match with more than one order, then the system matches first by price, then by time (oldest order first) until the order has been fully matched.
Here is an example continuous order book, noting the non-overlapped price ladder with bids shown in green at the bottom left and asks shown in red at the top right, all mapped against a vertical, increasing price ladder. The last trade is shown at $3,040 in yellow highlight.
If a buy order is entered for a quantity of 90 at a price of $3,060, it will match as follows:
(1) 20 at $3,040 (Best Ask)
(2) 60 at $3,050
(3) 10 at $3,060 in time order
This leaves a new Best Ask at $3,060 (yellow highlight) with a balance of 30