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Glossary: what Matchstick means by each term

Matchstick reference
#reference#glossary

The words Matchstick uses on its site and in its docs, each with the one meaning we hold it to, and which ones are planned rather than built.

What you get: the one meaning Matchstick holds each term to. When a page on this site uses one of these words, it means what is written here.

Two people in the same team often use the same word for different things. This page is where I settle it for Matchstick. If you read a term differently, or a page here uses one loosely, write to [email protected] and I will fix the page or the definition.

Terms marked Planned describe something that is not built yet.

Data

Recording

A file of market data captured as it happened: each change to the order book, in order, with its time. Replay reads recordings of the market. It does not read your account’s orders or fills.1

Session

One recording loaded into Replay, with its source label. The public demo ships synthetic sessions; the app opens files you import.2

Event

One recorded change in a session: a book update or a trade print. Replay moves through a session one event at a time.

Price-level book (Level 2, market by price)

An order book that shows one total size per price. This is what Replay reads today. Level 1 is only the best bid and best ask.3

Market by order

An order book that keeps every resting order on its own, with its id and size. Replay does not read market-by-order data yet.3

Synthetic data

Made-up data generated by a program, with no real market, account or trade behind it. The demo and the screenshots on this site use synthetic data, labelled as such.

Source label

The note that travels with a session: where the data came from, the symbol, when it was captured, and what you may do with it. A file you import is marked private.2

Replay

Replay

Moving through a recorded session, forward and back, and seeing the book as it was recorded at each point.4

Cursor

The point in a session Replay is showing now. You move it by stepping, seeking or playing.

Snapshot and update

A snapshot is the whole book at one moment. An update is one change after it. Replay rebuilds the book at the cursor from the nearest snapshot plus the updates since.

Deterministic

The same session at the same cursor gives the same book, every time.4 It says the computation repeats. It does not say the original feed was accurate or complete.

Snapshot diff

A comparison of the book at two points in one session: which price levels changed size, and how many updates came in between. It shows that sizes changed, not why.5

Result hash

A short fingerprint of a computed result, such as a snapshot diff. Run the same comparison again on the same session with the same engine version and you get the same hash. A new engine version can give a new hash for the same input.5

Testing against rules

Prop firm

A proprietary trading firm: it funds traders who pass its evaluation and keep to its rules, such as a drawdown limit. Each firm writes its own rules.6

Drawdown

How far an account may fall before it fails. Firms differ on what the floor follows (the balance at the close, or open equity during the day) and on when it stops moving.6

Simulated

Run on recorded or synthetic data, not in a real account. A simulated result did not happen and does not show how anyone will do in the future.

Rule check (Planned)

Running a strategy’s trades against a firm’s written rules and reporting which rule fired, where. Not built yet.

Evaluation (Planned)

A rule check packaged so the firm’s risk team can rerun it and get the same answer. This is what Matchstick is being built to produce. Not built yet.

Receipt

A record of one order in the Matchstick engine: what was sent, what came back, and what is still open. When the engine is not sure, the receipt says so. The engine is in development and runs on paper accounts only.7

Footnotes

  1. The plain limits are listed on the docs overview and in market by order vs market by price. ↩

  2. How an import is labelled: order book historical data. ↩ ↩2

  3. The full comparison: market by order vs market by price. ↩ ↩2

  4. Try it on a synthetic session: order book replay in your browser. ↩ ↩2

  5. The snapshot diff is a prototype on the public demo, on synthetic data. ↩ ↩2

  6. What firms’ own pages say: prop firm drawdown types. ↩ ↩2

  7. The receipt is shown on the engine page, with a made-up order. ↩