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INTELLIME matches bid and offers to complete orders (trades, bets and so on). It uses one or several algorithms to allocate trades amongst competing bids and offers at same price. It currently supports one of the most commonly used algorithms - "Price time priority" & "Pro rata matching" and can be customized to support any other preferred matching algorithm with ease. It is multi-threaded, in memory matching consuming least memory and resources, and yet providing reliable and one of the fastest matching. |
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| The matching engine supports scalability and allows the engine to spawn multiple engines to handle high traffic and volatility in the system. |
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| Features & Benefits |
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- High performing and fully scalable engine employing real time order matching.
- Flexible system framework allowing configuring any asset class order matching like for equities, futures, forex as well as option.
- Distributed application architecture for reliable and swift scalability.
- Supports various order types like market, limit, stop, stop-limit, good-to-cancel (GTC), day, trailing stop order and so on.
- Fully supports matching principles like price/time and pro rata.
- Flexible architecture allows modification of the matching engine to support complicated matching principles like auctions, pre and post market orders, cross and pre-arranged trades and so on.
- Persistent storage for all orders/trades for reliability.
- IntelliTrade OME's core processing engine is consistently updated to include new functionality and the latest in technology advancements. These improvements are made available to all clients on a regular basis.
- User-friendly flexibility and configurability enables users to tailor the solution to meet specific needs at the time of installation and as requirements change over time.
- Employs configurable instruments and intelligent logic of allocating resources based on instrument activity i.e. active instruments are allocated more resource when compared to an inactive one.
- Allows configuration through web console.
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| Functional Highlights |
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- Provides users and management with real-time order blotters to manage order activity and associated data.
- Support for individual and linked order entry (OAO - One Activates Other, OCO - One Cancels Other).
- Support for multiple order expiration options (Good Till Cancel, Specific Date/Time, Location Close).
- Supports auto expiration of orders.
- Configuration allows for multiple order locations with the ability to define the active location.
- Interface layer supports connectivity and transformation from messaging formats including, but not limited to, FIX, MQ, files, database, SOAP & web services.
- Supports automatic market making using feed from external system.
- Supports bid/ask markups while automatic market making.
- Supports multiple sessions in a day.
- Supports quotes based, orders based as well as hybrid matching algorithm.
- Handles, not to match both the orders from market makers or house accounts.
- Pre-session Orders.
- Built in C++ supporting MS SQL server.
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| Matching Principles |
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| 1. Price/Time Priority |
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| The principle of price/time priority refers to both orders and quotes. When an order (or quote) is entered into the order book, it is assigned a timestamp. This timestamp is used to prioritize orders in the book with the same price - the order entered earliest at a given price limit gets executed first. When a new order (or quote) is entered, the OME system first checks the limits of all orders contained in the central order book. If the incoming order is immediately executable, meaning it is capable of being matched against an existing order or orders, one or more transactions are generated. To be immediately executable, the order must be |
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- A market order, where opposite already exist in the central order book;
- An order to buy at a price at or above the lowest offer in the central order book;
- An order to sell at a price at or below the highest bid in the book.
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| Orders may not necessarily be executed at a single price, but may generate several partial transactions at different prices. When a large order executes against the total available quantity at a given price level, the next best price level becomes best. This process continues as long as the incoming order remains executable. If not executed upon entry, an order is held in the central order book. |
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| Also, it is possible for a single order to generate multiple executions at different points in time. For example, an order may generate a partial execution upon entry, while the remaining open order remains in the order book. The open portion may get executed a minute later, an hour later, or even a day later, if its validity extends beyond the current trading day. |
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All executions are subject to the restrictions of the market order matching range.
Market orders have the highest priority for matching. Since the purpose of the market order is to be executed as quickly as possible at the best possible price, it must be entered without execution restrictions. If several market orders are booked in the order book, the OME system takes into account the timestamp of the orders to establish matching priority. The earliest market order entered receives the highest priority. |
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| In the case of limit orders, orders with the best possible prices (highest price limit for buy orders, lowest price limit for sell orders) always take precedence in the matching process over other orders with worse prices. Again, if the limit orders have the same price limit, the criterion used for establishing matching priority is the order timestamp. |
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| The orders already present in the order book are always executed at their specified limit price. Orders going into the order book are always matched at the appropriate prices available in the order book, up to the specified limit price. |
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| 2. Pro Rata Matching |
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| When the intraday volatility of the inside market price of a product is low, under price/time priority a large order may prevent smaller orders from participating in the matching process. Pro rata matching ensures constant access to the inside market for orders of all sizes. |
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| When matching existing orders in the book against an incoming order, the pro rata matching algorithm takes into account every book order at the inside market price according to its percentage of the overall volume bid or offered at the price, regardless of its timestamp. Thus the pro rata principle avoids a conflict in priority between orders with small and large quantities. |
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| The elimination of prioritization by time results in a larger number of book orders contributing to a trade, since an incoming order is partially matched against a proportion of all orders in the book at the current inside market price. |
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| Market orders for pro rata matched products must be entered with a restriction code. Therefore, no market orders are stored in the order books for products associated with pro rata matching. When a market order, or part of it, can only be matched outside the Market Order Matching Range, the remaining quantity is cancelled. When market orders are entered and no reference price is available, the market order is cancelled. |
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