Frequent Batch Auctions (FBA)

The Ithaca Matching Engine employs a Frequent Batch Auction (FBA) mechanism. Orders are matched in auctions at discrete times, immediately followed by the next FBA cycle.

FBAs run across multiple order books with different products, underliers, and maturities. This allows for the seamless handling and synchronized execution of multi-leg linked / conditional orders.

Auction Phases

Order Submission Period

During the Order Submission Period of an FBA, new orders can be submitted into the order book and existing orders can be canceled. However, during this period no orders are being matched and no match prices are being generated. Each order submission period starts immediately after another and finishes when the Matching Period starts for that auction.

Matching Period

At the end of the Order Submission Period, the Matching Period starts. During the Matching Period, the Ithaca Matching Engine will evaluate all live orders including conditional orders.

At the conclusion of the Matching Period the Matching Engine determines a single price for forwards and a single price for call and put options.

Any new orders placed during the Matching Period are not accepted into the current auction cycle, but are instead placed into a temporary queue outside the order book until the next Order Submission Period opens.

Digital options; any linear combinations of Risk Sharing Building Blocks (RSBBs) get implicitly submitted as Request for Quotes (RFQs) with limit prices associated with them and therefore could be associated with different prices within the same auction cycle, while respecting submitted limit pricing.