Finance / Market Microstructure
Inside Wall Street's Matching Engine: How Exchanges, Auctions, and Order Routers Actually Work
by Victor Trex
What actually happens in the milliseconds after you tap buy? Inside Wall Street's Matching Engine traces a single order through the machinery most traders never see: the limit order book, the price-time priority rules that decide who gets filled first, the order routers that split a trade across competing exchanges, and the matching engines that pair buyers and sellers in microseconds. It explains -- without requiring a computer-science background -- why a price can move the instant you enter the market, and why an order sometimes fails to fill: the hidden mechanics of how modern markets actually clear.