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Quantitative Finance · शब्दावली

In-flight order, cancel–fill race क्या है?

अन्य नाम: in-flight order · cancel--fill race

Definition 21.2 Low-Latency Software · अध्याय 21 — Order Gateway and Order Management

An in-flight order is an order in a pending state: a request about it has been sent and its answer has not arrived, so the order may have changed at the venue in ways the firm does not know yet. A cancel–fill race occurs when a fill and a request to cancel or replace the same order cross: the fill happens at the venue before the request arrives there, and its report reaches the firm after the request was sent.

A cancel–fill race. The cancel leaves at c and arrives L later; a fill at the venue between c - d and c + L is reported after the cancel was sent. The gateway, in the state pending cancel, applies the fill and then the “too late” answer, and ends in filled. — Figure 21.2. A cancel–fill race. The cancel leaves at $c$ and arrives $L$ later; a fill at the venue between $c - d$ and $c + L$ is reported after the cancel was sent. The gateway, in the state pending cancel, applies the fill and then the “too late” answer, and ends in filled.

Cancel–fill races against the latency of the cancel, with fills at = 200 per second and reports delayed d = 20\, µ s. The points are the Python gateway against Book 10’s matching engine (two seeded runs of 2 000 orders each per point); the solid curve is the exact probability for orders held 1\, m s on average, the dashed one the formula for orders that have rested at least L + d when cancelled. Data: fig_races.py (deterministic). — Figure 21.3. Cancel–fill races against the latency of the cancel, with fills at $\lambda = 200$ per second and reports delayed $d = 20\,\text{µ}\mathrm{s}$ . The points are the Python gateway against Book 10’s matching engine (two seeded runs of 2 000 orders each per point); the solid curve is the exact probability for orders held $1\,\mathrm{m}\mathrm{s}$ on average, the dashed one the formula for orders that have rested at least $L + d$ when cancelled. Data: fig_races.py (deterministic).

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