Order Book Matching Rules and Execution Timing in Chinese A-Shares
Summary
The article explains how orders travel from a broker through trading infrastructure into an exchange order book, where matching determines whether and at what price they execute. It describes price priority and time priority, then presents a price-selection rule based on the buy price, sell price, and prior trade price. It also outlines A-share session phases, including opening and closing auctions, continuous trading, and after-hours trading for specified boards.
The discussion connects queue position, latency, changing prices, order size, and session-specific cancellation rules to missed fills and execution slippage. It argues that detailed order book data can help estimate execution likelihood, but the article provides no measured results supporting that claim. Its session details are market-specific and may depend on current exchange rules; the accompanying promotion of a data API is not independent evidence of execution benefits.
Key ideas
- Orders pass through broker and network processing before entering exchange buy and sell books.
- Price priority and then time priority influence which orders execute first.
- The described trade-price rule uses the buy, sell, and previous transaction prices.
- A-share auction and continuous-trading phases have different matching and cancellation conditions.
- Latency, queue position, volatility, and order size can contribute to missed fills or poor execution.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.