%0 Journal Article %A Irene Aldridge %T Optimal Execution Size in Pro-Rata
Markets %D 2014 %R 10.3905/jot.2014.9.2.043 %J The Journal of Trading %P 43-50 %V 9 %N 2 %X Several exchanges in futures and options deploy pro-rata matching. Unlike execution in price-time priority matching systems, the executed size of limit orders in pro-rata markets is uncertain. This article derives the optimal size of limit orders in pro-rata markets given the trader’s desired execution size.TOPICS: Options, exchanges/markets/clearinghouses %U https://jot.pm-research.com/content/iijtrade/9/2/43.full.pdf