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Obviously, when ownership of some security is transferred from party A to party B, both parties' balances must be updated and recorded in an atomic transaction. Call this "an execution".

So in an exchange, what conditions dictate the moment a trade is actually executed? Specifically, are there a fixed number of "trading moments" during a day, or is it all "fluid"?

Or asked another way, do executions take place as soon as possible when buy/sell price conditions are met? Or are there a fixed number of execution timeslots in the course of a day in which buyer/seller matchups are sought?

Any resources appreciated. If the exchanges were open-source, I'd go read the code. ;-)

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It depends on the specific exchange's matching algorithm, which are usually available on their websites. – Joshua Ulrich Apr 4 '14 at 17:07

It's exchange dependent. An answer to each question which applies to every exchange doesn't exist.

But for the major developed world exchanges, execution happens in continuous time and not discrete time and transaction will occur instantaneously when conditions are met (e.g. a buyer crosses the spread). So a few nanoseconds or microseconds after the buy message reaches the exchange matching engine (as fast as the exchange is able to process the message). The exchange will usually then send a trade confirmation message to all participants which is received (assuming colo) less than 1 milliseconds afterwards (or an update from which this trade can be deduced as having just occurred).

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