Why do best bid and best ask determine the next match?
MARKET SYSTEMS · COURSE 001
The Millisecond That Matches an Order
Turn an order book into a deterministic queue. Follow price-time priority, market impact, cancel-replace, self-trade prevention, and frozen assets as one verifiable state machine.
COURSE EXAMPLEWho should fill first in a single millisecond?
Treat an order book as a deterministic queue and inspect price, time, depth, remainder, and frozen assets.
PARTICIPANTS
- AMaker A: enters first and supplies liquidity
- BMaker B: queues at the same price
- YouTrader: crosses the spread
- MEEngine: executes explicit rules
COURSE OUTLINE
One question per lesson
The lessons are ordered so that each one uses concepts introduced earlier.
- 01PRICE · TIME · QUEUE11 MIN
Who Should Fill First?
KEY QUESTIONI submitted first. Why can someone else fill first?
Put orders into one deterministic queue and observe price priority, time priority, resting prices, and partial fills.
→ - 02MARKET · DEPTH · IOC12 MIN
What Does a Market Order Consume?
KEY QUESTIONDoes a market order really mean ‘buy at any price’?
Sweep a sell book level by level and separate immediate fills, average execution, and an unmatched IOC remainder.
→ - 03SPREAD · MAKER · TAKER12 MIN
Who Leaves the Spread Behind?
KEY QUESTIONThe spread is only 1. Why can a large order still be expensive?
Read the book as waiting inventory and compare spread, level depth, and the real cost of a sweep.
→ - 04CANCEL · REPLACE · SELF-TRADE13 MIN
Why Does a Price Change Rejoin the Queue?
KEY QUESTIONWhy lose queue priority when improving an order’s price?
Cancel and reprice an order, then observe time priority reset and self-trade prevention block a false fill.
→
Questions covered in this course
Why does the earlier order fill first at the same price?
Why can a large order fill partly while the remainder queues?
How does a market order sweep levels, and why does its average worsen?
How do repricing, self-trade prevention, and freezes protect the book?