Crossed Book Handling for Call Auction

[daviddwlee84]

Some exchanges run two phases: a call auction and continuous trading. The call auction typically occurs at the open (pre-open/opening auction). During the call auction, the order book is effectively “crossed.”

In this state, L2 snapshots may show the level-1 ask/bid price & size as the Indicative Equilibrium Price (IEP) and Indicative Matched Volume (IMV)—i.e., virtual match price/volume.

Therefore, we need a mechanism that, while the book is crossed, computes IEP & IMV (i.e., simulates the auction) rather than using a normal top-of-book. Before the open, there can be batches of tick-by-tick “trade uncross” prints/events, and thus resolves the crossed book back to the normal limit order book.

In conclusion, is it feasible for us to maintain a “crossed-book” mode and, whenever the book is crossed, compute IEP & IMV when retrieving the best bid/ask price and size?

---

nautilus_trader/crates/model/src/orderbook/book.rs

Lines 482 to 501 in a9e985b

	/// Updates L1 book state from a quote tick. Only valid for L1_MBP book type.
	///
	/// # Errors
	///
	/// Returns an error if the book type is not `L1_MBP` (operation is invalid).
	pub fn update_quote_tick(&mut self, quote: &QuoteTick) -> Result<(), InvalidBookOperation> {
	if self.book_type != BookType::L1_MBP {
	return Err(InvalidBookOperation::Update(self.book_type));
	}
	// Note: Crossed quotes (bid > ask) can occur temporarily in volatile markets or during updates
	// This is more of a data quality warning than a hard invariant
	if cfg!(debug_assertions) && quote.bid_price > quote.ask_price {
	log::warn!(
	"Quote has crossed prices: bid={}, ask={} for {}",
	quote.bid_price,
	quote.ask_price,
	self.instrument_id
	);
	}

nautilus_trader/crates/model/src/orderbook/book.rs

Lines 360 to 386 in a9e985b

	/// Returns the best bid price if available.
	#[must_use]
	pub fn best_bid_price(&self) -> Option<Price> {
	self.bids.top().map(|top| top.price.value)
	}
	/// Returns the best ask price if available.
	#[must_use]
	pub fn best_ask_price(&self) -> Option<Price> {
	self.asks.top().map(|top| top.price.value)
	}
	/// Returns the size at the best bid price if available.
	#[must_use]
	pub fn best_bid_size(&self) -> Option<Quantity> {
	self.bids
	.top()
	.and_then(|top| top.first().map(|order| order.size))
	}
	/// Returns the size at the best ask price if available.
	#[must_use]
	pub fn best_ask_size(&self) -> Option<Quantity> {
	self.asks
	.top()
	.and_then(|top| top.first().map(|order| order.size))
	}

[cjdsellers]

Hi @daviddwlee84

Thanks for your ideas and I like your thinking here.

It's possible for the book to be in cross to support this sort of use case and for those occasions when the book may be legitimately in cross. There are separate integrity methods to audit and verify book correctness, so unless they are called there is no limitation on this.

It sounds like some additional functionality / method(s) would be required to support your intended use case. We'd be happy to consider this depending on complexity and how the logic + API might look.