Matching Orders Algorithm
Hello. I am trying to program a simulation of the financial market.
At the moment I am stuck on implementing the Order Matching algorithm. I am not sure as to what kinds of rules my algorithm should follow. I want my system to resemble the real world as much as possible, so getting the price order matching mechanism is quite important.
I can't find any decent info on how these algorithms work in detail. Wondering if you guys could somehow help me out.
For example if there is a sell order of 200, and two buy orders of 300 and 500. Who does the sell order go to and for how much? ( figures are a bit realistic, but still)
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