Matching Process Summary

A summary of the matching process performed by the Ithaca Matching Engine (IME).

Order Submissions

Orders are submitted during the order submission period as described in Frequent Batch Auctions.

Matching: Price Discovery

1. Buy and Sell Orders, including orders for pre-packaged and structured products conditional orders are matched based on the principles of maximum matched volume and minimum surplus across all order books covered.

2. If several possible sets of matching prices exist that would result in the same amount of total matched volume and the same volume of surplus across all order books, the set of match prices within the group of possible sets that results in the smallest total price deviation to the previous set of reference prices across all order books will be the determined set of match prices.

Matching: Orders Filled

1. Once the set of match prices for all contracts is determined, all orders that are being allocated a fill at the determined prices are filled accordingly.

2. If there are surpluses of matchable quantity on one side of an order book, all orders on that side are partially filled according to their original order size relative to the overall executable quantity.

3. Fully executed orders are removed from the order book at the end of the Matching Phase. Partially filled orders are automatically updated in the order book to appropriately reflect the remaining size and state of the order.

4. The IME accommodates orders that would not have found direct matches within the order book by acting as the implied counterparty as long as at expiry the sum of all potential liability of the protocol is less than the sum of its asset side in all scenarios.