Component Hierarchy

This section explains the hierarchical organisation of the key components of the exchange, showing how each layer builds on the previous to deliver scalability, functionality, and resilience.

Order Book

At the core of the exchange is the per-symbol Order Book. Each Order Book maintains separate lists of Buy and Sell Orders, ordered by price—high to low for Buys, low to high for Sells. Orders with the same side and price are grouped at the same level and prioritised within that level. The Chronicle Matching Engine uses advanced logic to determine and adjust order priority. Each symbol has a specific tick size, which sets the minimum price change and dictates how levels are separated and grouped in the order book. Tick size is dynamic and managed by Chronicle Matching Engine logic.

Orders within an Order Book are matched using standard Central Limit Order Book (CLOB) rules.

Order Entry

When an order is added to the system, its behavior is mainly determined by its Type and Time-In-Force properties. The following are the most common order types supported or under development. Priority rules are discussed further below.

Simple Order Types

• Market: Executes at the best price until matching stops. Any remainder is expired.

• Limit: Executes at or better than the specified price. Any remainder is added to the order book or expired based on Time-In-Force.

Worked Order Types

• Stop: A Market order that remains inactive until the market reaches a specified stop price, then is injected as a normal Market order.

• Stop Limit: A Limit order that remains inactive until the market reaches a specified stop price, then is injected as a normal Limit order.

• Iceberg: Has both a total Quantity and a smaller Disclosed Quantity. Only the Disclosed Quantity is shown on the order book. When the displayed quantity is depleted, the order is replenished by the system up to the minimum of the Disclosed and Remaining Quantity.

• Hidden: An active order with no displayed quantity.

• Pegged: A hidden order pegged to a midpoint (e.g., best bid or offer).

Order Types fall into two main categories: “Simple” orders, where the lifecycle is entirely managed by the client (Market and Limit), and “Worked” orders, where—in addition to client input—the exchange actively manages the order based on various parameters (Stop, Stop Limit, Iceberg, Hidden, Pegged). In this document, “Order” can refer to either group; the terms “Simple” and “Worked” are used when a distinction is needed.

Main Time-In-Force Options

• Day: Expires at the end of the current trading day.

• IOC (Immediate or Cancel): Executed upon receipt; any remainder is immediately expired.

• FOK (Fill or Kill): Fully executed upon receipt, or immediately expired.

• GTT (Good Till Time): Expires at a specified time (UTC, with second-level resolution).

• GTD (Good Till Date): Expires at the end of a specified trading day (local calendar).

Amendments, and Priority Rules

Once an order is entered into the system, the following properties can be amended:

• Quantity

• Disclosed Quantity

• Price

• Stop Price

• Expiration Time (for GTT)

• Expiration Date (for GTD)

There are some restrictions on allowed amendments; details are omitted from this document.

Matching and Priority Rules

For any given price level, the priority order when matching is:

1. All displayed orders

2. Non-displayed portions of Icebergs (via replenishment)

3. Fully Hidden Orders

4. Pegged Orders

Within each group, priority is determined by the time the order was added to the book, or when amended (if the amendment causes the order to lose priority).

Auxiliary Order Book State

Beyond the book itself, each Order Book component maintains additional state used in the matching process:

• Off-book components of Worked Orders (e.g., replenishing Icebergs, injecting Stop orders)

• Risk controls for the symbol, including awareness of aggregated content

• Reference Data (e.g., tick size rules, suspension status)

• Matching controls (e.g., self-match prevention, broker-to-broker matching rules)

Specific details are discussed later. For now, note that an Order Book component includes auxiliary state beyond the per-symbol book itself.

Extended Matching Controls

Additional per-order matching rules can be applied on top of the core matching and priority rules, such as Minimum Execution Quantity and Self-Match Prevention.