Stock Exchange

01Which order types must the book support?

All four core types, each defined by how it completes: a market order consumes the book immediately at whatever prices rest there; a limit order rests at its price until filled or cancelled; IOC (immediate-or-cancel) takes what is available and cancels the rest; cancel/replace re-prices without losing queue position unfairly.

02An order arrives — where does it try to fill first?

Own book first: the order matches against resting orders at price-time priority — best price wins, first-come wins ties — in microseconds, and only the unfilled residual ever leaves the building.

03The book fills 4,000 of 10,000 — how does the rest get done?

The residual is completed across the street: internalize against a wholesaler’s streamed quote when it improves on the public best price, otherwise route a child order to the venue displaying the best protected quote — never execute through a better price shown elsewhere.

04Fills now come back from three places — what does the client see?

One parent order, many fill sources: every fill — local book, wholesaler, away venue — appends to the parent; state (partially_filled 7,000/10,000) is derived from the fill log, and the order is done only when the residual is zero or explicitly cancelled.

05A cancel arrives while 3,000 shares are in flight to another venue?

Cancel is routed like an order: the resting slice cancels instantly, the in-flight routed slice sends a cancel to its venue, and the final state waits for that venue’s answer — shares that filled before the cancel landed stay filled.

06How do watchers learn the book moved?

Every match publishes: trade prints and book deltas flow to a separate market-data plane, tiered per subscriber (conflated top-of-book for most, full depth for professionals), and the matching path never waits for a subscriber.

01The engine host dies at 10:14 — what does the replacement know?

Deterministic: the same input sequence always produces the same book — matching is one thread per symbol reading a sequenced input log, so failover is replay, not reconstruction guesswork.

02What latency does each stage of the fill owe?

Microseconds to match, about a millisecond to ack: the local fill path never waits on routing, journaling to disk happens before the ack, and only the residual pays the multi-millisecond street latency.

03A venue resends a fill and a member resends an order — what happens?

Never a double fill: outbound child orders carry deterministic child ids the venue dedupes on, and inbound execution reports dedupe on (venue, execution id) — correctness beats availability on the order path.

04The regulator asks what happened at 9:31:02 — what do you produce?

The sequenced event log IS the exchange: every accept, match, route, fill, and cancel is journaled in order and replayable — the regulator’s question ‘what happened at 9:31:02’ has one answer.

05How do you prove no participant jumps the queue?

Fair by construction: price-time priority is absolute, nobody observes a match before it is sequenced, and market data leaves on the same feed for everyone — fairness is architecture, not policy.