PT - JOURNAL ARTICLE AU - Irene Aldridge TI - Optimal Execution Size in Pro-Rata<br/>Markets AID - 10.3905/jot.2014.9.2.043 DP - 2014 Mar 31 TA - The Journal of Trading PG - 43--50 VI - 9 IP - 2 4099 - https://pm-research.com/content/9/2/43.short 4100 - https://pm-research.com/content/9/2/43.full AB - 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