Liffe to launch time pro-rata algorithm for STIRT futures
The new time pro-rata algorithm will allocate volume to resting orders by considering the timing of resting orders as well as their size. The larger the resting order, the greater the share of the allocation, and the earlier the resting order was placed in the market, the greater the share of the allocation against a matching incoming order.
“At the moment, we use a plain pro-rata algorithm, which allocates volume to resting orders purely on the basis of how much volume you have relative
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