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Quantitative Finance · Glosarium

Apa itu Order-entry protocol, order-entry session, execution report?

Dikenal juga sebagai: order-entry protocol · order-entry session · execution report

Definition 26.2 Microstructure and Execution · Bab 26 — Build: A Matching Engine and Exchange Simulator

An order-entry protocol is the message set a participant uses to send, modify and cancel orders and the venue uses to answer. An order-entry session is one logged-in connection that carries it, with its own sequence of messages, limits and state. An execution report is the venue’s message on that session about one order: accepted, executed (partly or fully), cancelled, rejected, replaced.

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