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Quantitative Finance · शब्दावली

Confirmation matching, matching tolerance क्या है?

अन्य नाम: confirmation matching · matching tolerance

Definition 22.3 Research, Data and Risk Platforms · अध्याय 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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