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Quantitative Finance · Begrippenlijst

Wat is Matching engine?

Definition 1.5 Microstructure and Execution · Hoofdstuk 1 — The Limit Order Book

A matching engine is the venue’s program that holds the limit order books, applies each incoming message in the order it arrives, executes incoming orders against resting ones by the priority rule, and publishes the resulting events and execution reports.

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