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Medium · Market Microstructure · Quant Trader interview question · market-microstructure, order-matching, queue-priority, algorithmic-trading
Consider two order matching mechanisms: 1. Price-Time Priority: Orders at the best price are executed in the order they were received. 2. Pro-Rata Matching: Orders at the best price are executed proportionally to their size. In a fast-moving market, which mechanism generally favors traders who prioritize speed of order submission, and which favors traders who submit larger orders?