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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Pro-rata matching

Pro-rata matching comes in a variety of flavors and is usually implemented in slightly different ways. For the scope of this book, we provide some intuition behind this matching algorithm and provide a hypothetical matching scenario.

The underlying intuition between pro-rata matching is that it favors larger orders over smaller orders at the same price and ignores the time at which the orders were entered. This changes the market's microstructure quite a bit, and the participants are favored to enter larger orders to gain priority instead of entering orders as fast as possible:

BIDS

ASKS

Order A: Buy 100 @ 10.00

Order X: Sell 100 @ 11.00

Order B: Buy 200 @ 10.00

Order Y: Sell 200 @ 11.00

Order C: Buy ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content