3 ms·
why should randomization be clever? just fulfill orders in the book randomly for each time interval, wouldn't that be enough?
by keymone 8y ago
why should randomization be clever? just fulfill orders in the book randomly for each time interval, wouldn't that be enough?
- amluto 8y agoIf I place an order to buy 1 share for $1 and another share for $1.01 because the market data shows that there is only one share available for $1, then the exchange needs to process my $1 order before my $1.01 order. More complicated scenarios exist, too, especially once you take into account resting orders and modifications to existing resting orders.
- keymone 8y agoRight, unless exchange explicitly documents the fact that order of fulfillment is not guaranteed if you place them within the same time interval.