Match Steps and Examples
Match Steps
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Step 0: no match for one side market, or market without crossed order book
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Step 1: Maximum matched volume. The Equilibrium Price (EP) should be the price at which the maximum volume can be traded. In the case of more than one price level with the same executable volume, the algorithm should go to step 2
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Step 2: Minimum surplus. In the case of more than one price level with the same maximum executable volume, the EP should be the price with the lowest surplus (imbalance) volume. The surplus is absolute leftover volume at the EP. If multiple surplus amounts have the same lowest value, precede to step 3.
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Step 3: Market Pressure. If multiple prices satisfy 1 and 2, establish where market pressure of the potential price exists. Surplus with a positive sign indicates buy side pressure while surplus with a negative sign indicates sell side pressure.
- For scenarios that all the the equivalent surplus amounts are positive, if all the prices are below the reference price plus an upper limit percentage (e.g. 5%), then algorithm uses the highest of the potential equilibrium prices. If all the prices are above the reference price plus an upper limit, use the lowest price; for other cases, use the reference price plus the upper limit.
- Conversely, if market pressure is on the sell side, if all prices are above the reference price minus a lower percentage limit, then the algorithm uses the lowest of the potential prices. If all the price are below the reference price minus the lower percentage limit, use the highest price, otherwise use the reference price minus the lower percentage limit.
If both positive and negative surplus amounts exist, precede to Step 4.
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Step 4: When both positive and negative surplus amounts exists at the lowest, if the reference price falls at / into these prices, the reference price should be chose, otherwise the price closest to the reference price would be chosen.
Examples
The chosen price level row would have * on the deciding colume.
1. Choose the largest execution (Step 1)
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SUM SELL PRICE BUY SUM EXECUTION IMBALANCE
300 100 150 150 150 -150
300 99 150 150 -150
300 250 98 150 300 300* 0
50 50 97 300 50 250
2. Choose the largest execution (Step 1)
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SUM SELL PRICE BUY SUM EXECUTION IMBALANCE
300 100 150 150 150 -150
300 99 50 200 200 -100
300 98 200 200 -100
300 200 97 300 500 300* 200
100 100 96 500 100 400
3. the least abs surplus imbalance (Step 2)
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SUM SELL PRICE BUY SUM EXECUTION IMBALANCE
1500 102 300 300 300 -1200
1500 101 300 300 -1200
1500 100 100 400 400 -1100
1500 99 200 600 600 -900
1500 250 98 300 900 900 -600
1250 250 97 900 900 -350
1000 1000 96 900 900 -100*
4. the least abs surplus imbalance (Step 2)
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SUM SELL PRICE BUY SUM EXECUTION IMBALANCE
110 102 30 30 30 -80
110 101 10 40 40 -70
110 100 40 40 -70
110 99 50 90 90 -20
110 10 98 90 90 -20
100 50 97 90 90 -10*
50 96 15 105 50 55
50 50 95 105 50 55
5.1 choose the lowest for all the same value of sell surplus imbalance, reference price is 80
and 5% lower limit (Step 3)
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SUM SELL PRICE BUY SUM EXECUTION IMBALANCE
50 102 10 10 10 -40
50 101 10 10 -40
50 100 10 10 -40
50 99 10 10 -40
50 98 10 10 -40
50 97 10 20 20 -30
50 96 20 20 -30
50 50 95 20 20 -30*
5.2 choose the highest for all the same value of sell surplus imbalance, reference price is 100
and 5% lower limit (Step 3)
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SUM SELL PRICE BUY SUM EXECUTION IMBALANCE
50 99 10 10 10 -40
50 98 10 10 -40
50 97 10 10 -40
50 96 10 10 -40
50 95 10 10 -40
50 94 10 20 20 -30*
50 93 20 20 -30
50 50 92 20 20 -30
5.3 choose the reference price for all the same value of buy surplus imbalance, reference price is 90
and 5% upper limit (Step 3)
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SUM SELL PRICE BUY SUM EXECUTION IMBALANCE
50 99 100 100 50 50
50 98 100 50 50
50 97 100 50 50
50 96 100 50 50
50 95 100 50 50*
50 94 100 50 50
50 93 100 50 50
50 50 92 100 50 50
5.4 choose the reference price for all the same value of sell surplus imbalance, reference price is 100
and 5% lower limit (Step 3)
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SUM SELL PRICE BUY SUM EXECUTION IMBALANCE
50 101 10 10 10 -40
50 100 10 10 -40
50 99 10 10 -40
50 98 10 10 -40
50 97 10 10 -40
50 96 10 20 20 -30
50 95 20 20 -30*
50 50 94 20 20 -30
6.1 choose the closest to the last trade price 99 (Step 4)
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SUM SELL PRICE BUY SUM EXECUTION IMBALANCE
50 100 25 25 25 -25
50 99 25 25 -25*
50 25 98 25 25 -25
25 97 25 50 25 25
25 96 50 25 25
25 25 95 50 25 25
6.2 choose the closest to the last trade price 97 (Step 4)
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SUM SELL PRICE BUY SUM EXECUTION IMBALANCE
50 100 25 25 25 -25
50 99 25 25 -25
50 25 98 25 25 -25
25 97 25 50 25 25*
25 96 50 25 25
25 25 95 50 25 25