Hi All,

I have a question about market design best practice. When designing an auto-matching system, which price is the strike price? For example, a bid order is in at $10 and a compatible ask order is submitted at $9 - what is the contract price?

There are several options with pros/cons – I need to figure out which one is best. For example:

Matching:

Option 1: Create Trade at Bid price upon matching compatible Orders
Option 2: Create Trade at Offer price upon matching compatible Orders
Option 3: Create Trade at ‘original’ Order price upon matching compatible Orders
Option 4: Create Trade at ‘matching’ Order price upon matching compatible Orders

Sub-Options:
When a ‘Fast Trade’ is submitted, are the resulting matches priced at the fast Trade price, or the original order price, or the Option 1 or Option 2 above?

Thanks in advance

james