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Quantitative Finance · शब्दावली

Order gateway, order state machine क्या है?

अन्य नाम: order gateway · order state machine

Definition 21.1 Low-Latency Software · अध्याय 21 — Order Gateway and Order Management

An order gateway is the component between a firm’s strategies and a venue’s order-entry session: it turns the strategies’ requests into the venue’s messages, the venue’s reports into order states, and refuses what the firm’s limits or the venue’s rules forbid. An order state machine is the set of states an order can be in, as the firm sees it, with the events that move it from one to another; the firm’s view includes the pending states, entered when the firm has sent a request and not yet heard its answer.

The firm’s view of an order. Dashed boxes are the pending states, entered when a request is sent and left when its answer arrives; in red, the fills that reach an order after the firm has asked to cancel it. Not drawn: every open state can also be cancelled by the venue on its own (a lost connection, a halt, an expiry), and pending new can fill or be cancelled before its acknowledgement. Only the terminal states, doubled, are final; the table of is the whole machine.
Figure 21.1. The firm’s view of an order. Dashed boxes are the pending states, entered when a request is sent and left when its answer arrives; in red, the fills that reach an order after the firm has asked to cancel it. Not drawn: every open state can also be cancelled by the venue on its own (a lost connection, a halt, an expiry), and pending new can fill or be cancelled before its acknowledgement. Only the terminal states, doubled, are final; the table of Listing 21.1 is the whole machine.
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