TY - JOUR T1 - Optimal Execution Size in Pro-Rata<br/>Markets JF - The Journal of Trading SP - 43 LP - 50 DO - 10.3905/jot.2014.9.2.043 VL - 9 IS - 2 AU - Irene Aldridge Y1 - 2014/03/31 UR - https://pm-research.com/content/9/2/43.abstract N2 - 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 ER -