Day 51 — Price Proximity
Before you read any further, answer this honestly: when your buy limit order is set at $185.00 and the market prints $185.00, do you actually get filled?
Maybe. Maybe not. It depends entirely on how your code checks that condition — and most code gets it wrong.
What We’re Building Today
By the end of this lesson you will have a working
ProximityEngine— a module that watches a live stream of market quotes, tracks how close each of your limit orders is to triggering (measured in basis points), and fires order submissions the moment the real fill condition is met. Not the imaginary one. The real one.This is not a tutorial about what a limit order is. You already know that. This is about what actually happens when $185.00 meets $185.00 inside a computer, and why the answer is more complicated than you’d expect.
