Mixed FIFO/Pro Rata Match Algorithms

Mixed FIFO:Pro Rata Match Algorithms.png

May 31, 2013 - The NYSE LIFFE exchange has announced a change, effective May 29, 2013, to the pro rata trade matching algorithm for three month Short Sterling and Euroswiss futures contracts [LIFFE, 2013]. (Update May 30: LIFFE has announced that they are rolling back the change.) This note summarizes the content of this change, and compares it to the CME mixed time priority / pro rata match algorithm. We suggest that the CME algorithm is more effective at maintaining elements of both time priority and pro rata in the same match algorithm.

Request the full whitepaper by filling out the form below.

Guest User