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smart matching #538

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3 of 6 tasks
liampauling opened this issue Dec 13, 2021 · 0 comments
Open
3 of 6 tasks

smart matching #538

liampauling opened this issue Dec 13, 2021 · 0 comments

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@liampauling
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liampauling commented Dec 13, 2021 •
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Update logic to more accurately simulate matching as per the Betfair matching engine.

Passive

  • Prevent double counting of traded size
  • Match orders per FIFO and price
  • Improve PIQ estimate by including cancellations

Active

  • Prevent double counting of available liquidity
  • XM on placement

Bug Fixes

  • Simulation processing on in flight requests
liampauling added a commit that referenced this issue Dec 13, 2021
@liampauling
#538 passive; prevent double counting of traded size
d0edf5c
liampauling added a commit that referenced this issue Jan 6, 2022
@liampauling
Merge pull request #539 from liampauling/task/538-smart-matching
0a49d76 
#538 passive; prevent double counting of traded size
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@liampauling