globex matching-price algorithms

cuotes

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• Oct 1, 2009

• #1

Hi boys n girls,

There is a quite interesting field in trading, often overlooked.

I'm talking about the different price-matching algorithms used by the exchanges.

Specifically globex.

They use several modes, different for every market.

e.g ES use F.FIFO, meanwhile ZC uses K.Split FIFO/pro rata with TOP & LMM

I would like to know this algorithms in detail, but i can't find information.

I found several docs in cmegroup website describing them, but just in an overall view. I NEED to get into the little details. :smart:

Anyone knows anything?
Any link?
Any doc?
Any idea?

 

G

GammaJammer

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• Oct 1, 2009

• #2

How about this paper publsihed by two guys in Prague a couple of years ago.....

http://www.fma.org/Prague/Papers/MatchingAlgorithms.pdf

 

arabianights

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• Oct 1, 2009

• #3

Introduction to CME Globex is honestly enough... it isn't very detailed as such but you can certainly work out the entire algorithms from it.

 

arabianights

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• Oct 1, 2009

• #4

GammaJammer said:

How about this paper publsihed by two guys in Prague a couple of years ago.....

http://www.fma.org/Prague/Papers/MatchingAlgorithms.pdf

Click to expand...

It may be worth noting the unofficial "definitely won't get in trouble" number on LIFFE STIRs is 3 orders. After that you're possibly risking it, although the only time I ever got in trouble I must have had about 900 in at least (ironically this was because I was trying to work out a spread limit rather than for any nefarious purpose)

 

G

gooseman

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• Oct 1, 2009

• #5

yadda yadda

 

cuotes

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• Oct 2, 2009

• #6

thx, i'll take a look

'Introduction to CME Globex' was my starting point, and later I found a kind of powerpoint with further explanations. Even so, I still got some doubts.

I've got "engineer mind" and like very much to know every single tiny detail.

Best explanation ever seen about it was that ASX matching-algorithm. Paper is on their website. Unfortunately is only applicable for ASX stocks. But still a very good reading for those interested in learning.

I'll continue studying

 

G

GammaJammer

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• Oct 2, 2009

• #7

well post the link then. I showed you mine, now you show me yours......

 

Martinghoul

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• Oct 2, 2009

• #8

I think you can actually request some sort of an exhaustive doc from the Merc. They send you this book that's like 500 pages that describes, in gory interminable detail, all the rules that exist arnd orders, settlements etc. I once tried to read one of these for Eurodollars, but collapsed a couple of pages into it. It's not the most entertaining read.

 

G

GammaJammer

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• Oct 2, 2009

• #9

I could ask my mate there to tell me about it, but the pain of describing it all might make him cry. And we don't want that now do we boys and girls.....

 

cuotes

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• Oct 3, 2009

• #10

GammaJammer said:

I showed you mine, now you show me yours......

Click to expand...

Here it is: Algorithms used to calculate ASX opening and closing prices and floats calculations - Australian Securities Exchange
you'll find two links there (float prices and auctions).

This is from ASX Australian Securities Exchange.
What I'm looking for, is exactly this... a brief but still detailed description of the process.

For globex futures i got only a general idea. I'll try reading that awful big book you mention.