𝐖𝐡𝐚𝐭 𝐡𝐚𝐩𝐩𝐞𝐧𝐬 𝐰𝐡𝐞𝐧 𝐰𝐞 𝐛𝐮𝐲 𝐨𝐫 𝐬𝐞𝐥𝐥 𝐬𝐭𝐨𝐜𝐤𝐬?

𝐓𝐫𝐚𝐝𝐢𝐧𝐠 𝐅𝐥𝐨𝐰
🔹 Steps 1-4: Bob wants to buy 100 shares of Microsoft at a price of $247. The order is small, so it can go through DMA (Direct Market Access) to the exchange. The exchange gateway is responsible to normalize the order based on the exchange’s requirements and route to the exchange that provides the best price.

🔹 Steps 5-6: The buy order is sent to the exchange’s trading engine, which validates the order and maintains the order state. The order goes to the 𝐦𝐚𝐭𝐜𝐡𝐢𝐧𝐠 𝐞𝐧𝐠𝐢𝐧𝐞 to find a match (same price, different buy/sell direction). The matching engine maintains an order book. Let’s assume Bob’s order cannot find a match at a price of $247, and stays in the order book, waiting to be taken.

🔹 Steps 7-10: Alice wants to sell 10000 Microsoft shares at a price of $247. The sell order goes through the 𝐚𝐥𝐠𝐨𝐫𝐢𝐭𝐡𝐦 𝐭𝐫𝐚𝐝𝐢𝐧𝐠 𝐞𝐧𝐠𝐢𝐧𝐞 because it is relatively large, and Alice wants to minimize the market impact. The order is split into smaller orders and sent to the exchange.

🔹 Steps 11-12: One of Alice’s split orders matches Bob’s buy order in the matching engine: Bob gets a “fully filled” message, and Alice gets a “partially filled” message. This trade is done.

𝐌𝐚𝐫𝐤𝐞𝐭 𝐃𝐚𝐭𝐚 𝐅𝐥𝐨𝐰
🔹 Steps D1-D4:  Stock trading relies heavily on market data. The order book data and the candlestick chart are published via the market data publisher and exposed to various parties via the data service. The broker then listens to the data service and provides the data to the trading engines.

𝐑𝐞𝐩𝐨𝐫𝐭𝐢𝐧𝐠 𝐅𝐥𝐨𝐰
🔹 Steps R1-R3: The reporter receives trading messages from the trading engines and persists them into the databases. These are the 𝐛𝐨𝐨𝐤𝐬 𝐚𝐧𝐝 𝐫𝐞𝐜𝐨𝐫𝐝𝐬 for the broker and the exchange