I disagree. Let's say that over the course of 1 second, there accumulate 100 lots to buy at 10 and 80 lots to sell at 10. Of those 100, who gets filled? There

I disagree. Let's say that over the course of 1 second, there accumulate 100 lots to buy at 10 and 80 lots to sell at 10. Of those 100, who gets filled? There are several different algorithms for determining this in practice today, of which pro-rata and fifo are the primary ones. Each has their own disadvantages and most give some preference to being there first, which reintroduces latency into the game. I've seen some people speculate about a random allocation. I think this essentially boils down to pro-rata though, as you could game this by sending n 1-lots instead of 1 n-lot.