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Quantitative Finance · Glossary

What is Self-trade prevention, cancel on disconnect?

Also known as: self-trade prevention · cancel on disconnect

Definition 26.3 Microstructure and Execution · Chapter 26 — Build: A Matching Engine and Exchange Simulator

Self-trade prevention stops two orders of the same participant (or group) from trading with each other, by cancelling the resting order, the incoming one, both, or decrementing them. Cancel on disconnect cancels a session’s resting orders when the session is lost.

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