Matching Engine

StockMarketABM.MatchingEngine consumes incoming OrderSpecs, matches them against existing book liquidity, emits market events, and enforces time-in-force policies. The matching flow proceeds as follows:

match_order! validates the request (e.g. FOK pre-check via available_qty), emits an initial OrderAccepted event, and consumes liquidity by repeatedly calling consume! from the order book. Each fill produces a TradeExecuted event containing maker/taker metadata and the residual quantities.
Remaining quantity is handed off to apply_tif!, which either posts the residual (OrderAccepted with resting=true for GTC/GTT) or cancels it with the appropriate reason (:unfilled_market, :ioc_lapse, :fok_not_filled). Market orders never rest, regardless of TIF.
cancel_order! and clear_book! wrap the corresponding order-book operations, emitting OrderCanceled events so downstream components can update state consistently.

Together these functions provide a deterministic event log and keep the order book as the source of truth for resting liquidity. See docs/src/lob/orderbook.md for details on price-level management.

StockMarketABM.MatchingEngine._price_limit — Method

_price_limit(side, price)

Convert an optional limit price into an executable bound. Market orders map to typemax/typemin depending on side so comparisons work uniformly.

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StockMarketABM.MatchingEngine._resolve_instrument — Method

_resolve_instrument(spec, default) -> Instrument

Return the instrument embedded in spec. The default argument is unused but retained for API compatibility with callers that still provide it.

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StockMarketABM.MatchingEngine.apply_tif! — Method

apply_tif!(book, spec, residual_qty; now)

Handle residual quantity after matching according to the order's TIF policy. For example IOC orders cancel leftovers immediately, whereas GTC keeps them resting in the book. Returns the generated MarketEvents.

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StockMarketABM.MatchingEngine.build_accept_event! — Method

build_accept_event!(events, spec; resting)

Helper constructing an OrderAccepted event and pushing it to events.

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StockMarketABM.MatchingEngine.build_cancel_event! — Method

build_cancel_event!(events, spec, reason, ts)

Helper to emit OrderCanceled events.

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StockMarketABM.MatchingEngine.build_trade_event! — Method

build_trade_event!(events, price, qty, maker, taker, ts)

Construct a TradeExecuted event and append it to events.

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StockMarketABM.MatchingEngine.cancel_order! — Method

cancel_order!(book, spec) -> Vector{MarketEvent}

Cancel a resting order described by CancelSpec. Returns the generated events (e.g. OrderCanceled).

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StockMarketABM.MatchingEngine.clear_book! — Method

clear_book!(book; now) -> Vector{MarketEvent}

Cancel all resting orders in the book and return the resulting events. Useful for session resets or halts.

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StockMarketABM.MatchingEngine.match_order! — Method

match_order!(book, spec; now)

Attempt to execute OrderSpec against the provided LimitOrderBook. Returns a vector of MarketEvents describing acceptances, trades and any residual cancels. Time-in-force behaviour is delegated to apply_tif!.

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