Matching modes

Within the Baikal Order Book there is a unique two-mode matching process designed to meet the needs of different trading strategies; random periodic Mid-point Matching and Continuous Trading. All orders are executed on a strict time priority, subject to limit price and Minimum Execution Size constraints.

Random periodic Mid-point Matches
During a Mid-point Match, Resident orders are matched at the mid price of the primary exchange, according to strict time priority, subject to limit price and Minimum Execution Size constraints.

Random periodic Mid-point Matches for each security takes place within 30 seconds (for liquid securities) of the previous Mid-point Match in that instrument. The random timetable prevents gaming of the execution price and ensures that participation is limited to patient traders preferring the opportunity to trade in size over a guarantee of immediacy.                                                    

Continuous Trading
During Continuous Trading (which takes place whenever a Mid-point Match is not underway) incoming IOC orders can match against queued Resident orders at the applicable execution price.

Well formed market validation checks
Prior to the execution of orders, Baikal will perform well formed market validation checks against the primary exchange. Execution prices are then validated to guarantee the integrity of execution prices.