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Run a Trading Session

Learning objectives

After this chapter you will be able to:

  • name the phases of a trading day and say what each does to an order
  • move the exchange through those phases yourself from the operator console
  • see an opening auction collect orders and match them at a single price
  • find the records the exchange keeps of everything that happened

Time: about 45 minutes. You need: the exchange from Install and Start and Your First Trade behind you.

A trading day has phases

So far the exchange has been open for continuous trading all the time. Real exchanges are not: they open and close on a timetable, and they use auctions to start and end the day. EduMatcher follows the same pattern.

flowchart LR
    C1["CLOSED"] --> P["PRE_OPEN\norders accepted,\nnothing trades"]
    P --> OA["OPENING_AUCTION\norders collected"]
    OA -->|"uncross:\none price for all"| CT["CONTINUOUS\nnormal matching"]
    CT --> CA["CLOSING_AUCTION\norders collected"]
    CA -->|"uncross"| C2["CLOSED"]
Phase What happens to orders
CLOSED Everything is rejected: Market is closed.
PRE_OPEN Orders are accepted and rest in the book, but nothing trades, even if prices cross.
OPENING_AUCTION Still no trading. The engine works out the single price at which the most shares can change hands.
CONTINUOUS The auction uncrosses at that price, then normal one-by-one matching runs all day.
CLOSING_AUCTION Orders are collected again for a closing price.
back to CLOSED The closing auction uncrosses; DAY orders expire.

Why the auctions? At the open, overnight news means nobody knows the right price. Letting everyone's orders gather first and then trading all of them at one price is fairer than rewarding whoever happens to arrive first, and it produces an official opening and closing price.

Step 1 — Switch to a configuration with a timetable

The configuration s3-nominal-nomm has the same three symbols and four participants, an empty book, and a weekday timetable: pre-open 09:00, opening auction 09:25, continuous trading 09:30, closing auction 16:00 to 16:05. It also switches on circuit breakers, which you will not trip today.

Containers:

cd ~/.edumatcher
./edumatcher.sh config s3-nominal-nomm
./edumatcher.sh restart

(Keep EM_PROFILE=default from the previous chapter, so the market-maker bot stays off.)

Python package:

pm-opctl-cli stop
pm-setup --config s3-nominal-nomm --force
pm-opctl-cli start

The process set includes pm-scheduler, which moves the exchange through the phases at the times in the timetable — in the container's time zone, which is UTC unless you set TZ in .env. Outside those hours the exchange simply sits in CLOSED. In this chapter you will drive the phases by hand, which works at any time of day.

Step 2 — Open the operator console

In a shell inside the exchange, connect as the operator OPS01:

pm-admin --id OPS01

pm-admin is the operator console. It can see and do things a trader cannot: show the whole book, change the session phase, halt a symbol, disconnect a participant. Its prompt is [OPS01|ADMIN]>. Ask where the day is:

[OPS01|ADMIN]> SESSION_STATUS
  Session state     : CLOSED
  Auto-scheduling   : ON
[OPS01|ADMIN]> SCHEDULE

SCHEDULE prints the timetable. Two more commands give you the operator's view of the exchange:

[OPS01|ADMIN]> SYMBOLS
[OPS01|ADMIN]> GATEWAYS

GATEWAYS lists every participant with its role and whether it is connected right now.

Open two trader consoles as in the previous chapter (pm-alf-console --id TRADER01 and --id TRADER02) and try to buy something from TRADER01:

[TRADER01]> NEW|SYM=AAPL|SIDE=BUY|TYPE=LIMIT|QTY=100|PRICE=150.00|TIF=DAY
[09:58:10.822] REJECTED  334087acbd9d91957322d02fc9db99a7 code=MARKET_CLOSED  Market is closed

That is the CLOSED phase doing its job.

Step 3 — Pre-open: orders wait

Move the exchange to pre-open. From CLOSED this is the only legal step:

[OPS01|ADMIN]> SESSION|STATE=PRE_OPEN
SESSION  CLOSED → PRE_OPEN

Now send a buy at 150.00 from TRADER01 and a sell at 149.00 from TRADER02:

[TRADER01]> NEW|SYM=AAPL|SIDE=BUY|TYPE=LIMIT|QTY=100|PRICE=150.00|TIF=DAY

[TRADER02]> NEW|SYM=AAPL|SIDE=SELL|TYPE=LIMIT|QTY=100|PRICE=149.00|TIF=DAY

Both are acknowledged, and neither trades — even though the buyer would pay more than the seller asks. In continuous trading these two orders would have matched instantly. In pre-open they wait.

Step 4 — The opening auction and the uncross

Step through the auction into continuous trading:

[OPS01|ADMIN]> SESSION|STATE=OPENING_AUCTION
SESSION  PRE_OPEN → OPENING_AUCTION
[OPS01|ADMIN]> SESSION|STATE=CONTINUOUS
SESSION  OPENING_AUCTION → CONTINUOUS

At the moment continuous trading starts, the auction uncrosses. Both traders receive a fill:

[09:59:13.304] FILL      0aeb15eef2df8ba63f2eaf806e628600  qty=100 @149.0  remaining=0  [FILLED]

Every order matched in an auction trades at one price, the equilibrium price: the price at which the largest number of shares can change hands. Here any price from 149.00 to 150.00 would let all 100 shares trade; when several prices tie, EduMatcher's rule picks the lowest, so both fill at 149.00. With more orders on each side the choice becomes a real calculation, and the Training Guide's Auctions chapter has you work one out by hand.

Phases only move forward

The engine accepts only the transitions in the order shown in the diagram. A jump such as CLOSED straight to CONTINUOUS is refused. If a SESSION|STATE= command seems to do nothing, run SESSION_STATUS to see where you really are.

Finish the day the same way — SESSION|STATE=CLOSING_AUCTION, then SESSION|STATE=CLOSED — and any DAY orders still resting expire.

Hand control versus the scheduler

pm-scheduler only acts at the times in the timetable. Between those times your manual changes stand; at the next scheduled time the scheduler moves the exchange on again. When you want the clock to run the day for you, just leave it alone during trading hours.

Step 5 — Look at the records

The exchange records everything while it runs. From a shell inside it:

pm-stats-cli trades           # every matched trade
pm-stats-cli daily            # open, high, low, close and volume per symbol and day
pm-clearing-cli pnl           # positions and profit or loss per participant
pm-audit-cli events --limit 20    # the last 20 events of the full audit trail

These read the databases written by pm-stats, pm-clearing and pm-audit. They are ordinary files in the data directory, so you can also open them with any SQLite tool.

And to watch the market live in the terminal rather than the browser:

pm-viewer --symbol AAPL      # one order book in detail
pm-board                     # several symbols at once
pm-ticker                    # a scrolling tape of trades

Checkpoint

  • SESSION_STATUS shows the phase you set.
  • Your pre-open orders traded only when continuous trading started, both at the same price.
  • pm-stats-cli trades lists that trade.

Where to read more

If you want to know… Read
Every phase, the scheduler, holidays and the trading date Operator's Guide, Session Scheduling and Auctions
How the trading day looks from the trader's seat Participant Guide, A Full Trading Day
Everything the operator console can do Operator's Guide, The Admin Console and Exchange Commands
Halts, price collars and circuit breakers Operator's Guide, Risk Controls
What each record contains Operator's Guide, Statistics and Reporting and Audit Trail