Matching Engine Constraints

Matching engine constraints refer to the technical limitations and rules imposed by an exchange's core software to process orders. These constraints govern how orders are prioritized, matched, and executed based on price, time, and size.

They must handle high throughput while ensuring fairness and transparency in price discovery. Constraints often include maximum order rates, latency requirements, and specific handling of order types like iceberg or stop-loss orders.

If an order violates these constraints, such as being below the minimum lot size or having an invalid price increment, the engine will reject it. Understanding these technical bounds is vital for high-frequency traders who rely on low-latency execution.