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Benjamin88 发表于 2018-2-22 21:03 
以所有order的，取出可以完成的最大交易量的价格。
nonono 哥们你说的不对，因为任何价格在overlap区间内都OK
而且 价格不影响交易量
比如说 10000 bid 1.00$ vs 12000 offer 0.90$
不管价格在 0.9-1 之间任何数值，都不会影响成交量： 10000
至于价格如何生成，可以参考这个说法
https://www.adviservoice.com.au/ ... pricing-on-the-asx/
Consequently, if a price can be established under the first of the principles, then that will be the Matched price. The fourth principle always establishes a single price.
The principles applied are these.
The price should be the one that provides the maximum volume of executed trades.
For example, if there are 70,000 buy orders at a price of $10 or less, and 30,000 sell orders at $10 or more, then clearly 30,000 shares would trade if the price were $10. If there were a price at which a higher number of trades would take place, then that would become the Match Price under this first principle.
If the exactly the same volume of trades would be executed at more than one price, then a choice among them will be made by applying the second principle
The price should be the one that leaves the least quantity of shares in unfilled orders.
For example, in the example used in principle 1, 30,000 shares would trade if the price were $10, and 40,000 buy orders would remain unfulfilled. If any other price that was still a possibility after principle 1 resulted in fewer unfulfilled orders, then it would become the Match Price.
If the same quantity of shares in unfilled orders would arise at more than one price, then a choice among them will be made by applying the third principle
The highest potential price should be used if market pressure is on the buy side, the lowest if the pressure comes from sellers.
For example, using the same example again, if two prices remained from principle 2, then the higher of them would become the Match Price, because the unfilled orders are on the buy side. If pressure comes from both sides, the final principle will be applied.
The price should be set with reference to the last traded price.
If the last traded price is within the range of potential prices that are still possible after applying Principle 3, then that will be the Match Price. Otherwise, the Match Price will be the potential price that is closest to the last traded price. For example, assume two prices, $10.90 and $11, are still possibilities after principle 3 is applied. If the last traded price was between these prices, for example $10.95, then that would be the Match Price. If the last price had been $11.05, however, that would lie outside the range, so the closest of the possible prices, in this case $11.00, would be the Match Price. |
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澳洲生活Q & A –吃 (2005-1-6) 高西西 
发表于 2018-2-21 08:39
