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CME Globex Matching Algorithm Steps
CME Globex Matching Algorithm Steps
CME Globex uses several steps to allocate fills to resting orders when an aggressing order arrives at the order book. These allocation steps are grouped into an order of operations called a Matching Algorithm.
The trading engine assigns the algorithm applied to the given product. Depending upon matching conditions, a step can be omitted from an algorithm, or included multiple times within the sequence. The rules for each step are consistent across all algorithms.
Algorithm steps are sequenced such that all quantity is allocated by the end of the algorithm process. If there is more quantity aggressing than available (resting), CME Globex uses FIFO as an exception to the algorithm in place.
Contents
- 1 Algorithm Matrix
- 2 FIFO
- 3 Pro Rata
- 4 LMM