Queue Priority: Price-Time vs Pro-Rata - Quant Trader Interview Question
Difficulty: Medium
Category: Market Microstructure
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: market-microstructure, order-matching, queue-priority, algorithmic-trading
Problem Description
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?
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