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Date/Time: Tue, 14 May 2024 16:00:20 +0000

Post From: size Pro Rata order matching algorithm in backtest and live sim

[2019-02-04 19:37:44] Link To Thread - Link To Post [Go To First Post]
Chad - Posts: 231
Hello, I'd like to know the basic scheme of the order execution logic in the backtest and/or live sim environment when working markets with a size Pro Rata matching algorithm. To be specific, I'm looking at exchange-supported calendar spreads of futures in LIFFE Euribor and Short Sterling mostly, but this would extend to CME Eurodollar fut spreads as well. I know the basic difference between size Pro Rata and FIFO, but want to know how accurate Pro Rata would be in backtest/sim relative to live trading, and if there are any nuances I should be aware of for such simulation.