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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Confirmation matching, matching tolerance؟

يُعرف أيضًا باسم: confirmation matching · matching tolerance

Definition 22.3 Research, Data and Risk Platforms · الفصل 22 — Post-Trade Systems

Confirmation matching pairs each booked trade with a confirmation that agrees on key fields (security, side, counterparty, trade date, account holder) and then compares the other fields; a matching tolerance is the largest difference in a compared field that still counts as agreement. A pair within every tolerance is matched; a pair outside some is a partial match, reported with the fields that differ; a trade with no candidate is unmatched.

Share of Monday’s 500 trades matched automatically against the price tolerance. Below $0.00005 the three brokers that round the average price to four decimals break on almost every trade (60.4% matched at $0.0000001); from $0.00005 to $0.01 only the planted discrepancies remain (95.8%); at $0.05 five wrong prices are accepted as matches (96.8%). Data: fig_posttrade.py.
Figure 22.2. Share of Monday’s 500 trades matched automatically against the price tolerance. Below $0.00005 the three brokers that round the average price to four decimals break on almost every trade (60.4% matched at $0.0000001); from $0.00005 to $0.01 only the planted discrepancies remain (95.8%); at $0.05 five wrong prices are accepted as matches (96.8%). Data: fig_posttrade.py.
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