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Date/Time: Tue, 14 May 2024 04:27:53 +0000

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

[2019-02-06 21:36:55] Link To Thread - Link To Post [Go To First Post]
Chad - Posts: 231
Re: understanding - no, not estimated position in queue, though that is useful. The gist of size Pro Rata, as far as I understand it, is that even if my order is first in queue at the best bid but I have a 1-lot size, while other bidders at this same price level have 5-lot, 10-lot, 20-lot etc. sizes, the largest lots will get executed first, generally-speaking (there is a tinge of FIFO to the sPR algorithm I think, but size is of primary importance). I can retrieve some academic/industry references with equations on the order priority, if you'd like.