I don't think it's that good of an idea. If the allocation is random, participants will counter by sending in more orders than they want, to increase their chan

I don't think it's that good of an idea. If the allocation is random, participants will counter by sending in more orders than they want, to increase their chance of getting a fill. The microstructure will look similar to a market with a pro-rata matching algo. This article has a good discussion of some of the downsides of pro-rata http://www.advantagefutures.com/is-pro-rata-an-accident-waiting-to-happen/ http://www.advantagefutures.com/is-pro-rata-an-accident-wait.... But it's unclear to me how the random component would work that you all are talking about. Is my resting order subject to a random cancel delay as well? If it's not, then we still have a requirement for speed, as cancelling soon-to-be bad orders is arguably more important than placing soon-to-be good aggressive orders. And if it is subject to a delay, spreads are going to be MUCH wider, losing individual investors more money than they currently are to the current system.