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Quantitative Finance · Glossary

What is Order-entry abstraction?

Definition 12.4 Research, Data and Risk Platforms · Chapter 12 — Simulation–Production Parity

An order-entry abstraction is the one interface through which a hosted strategy sends and cancels orders and learns their fate, with the same semantics in every environment: which orders count as working (here, sent and not yet known to be finished, whether or not acknowledged), which callbacks arrive (acknowledgement, fill, cancel, reject), and what happens to a request that can no longer succeed.

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