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If there are multiple orders at the same price on the same side, how should we determine which ones are filled first? Or put another way, how should we determi
by usefulcat 2y ago
If there are multiple orders at the same price on the same side, how should we determine which ones are filled first?
Or put another way, how should we determine which orders are least likely to get filled?
- hcks 2y agoWell either volume weighted or randomised then
- Kstarek 2y agoHFT is still a massive thing in volume weighted (we call them pro-rata) markets, and it's even more toxic for retail as lots of people submit large orders that are unlikely to get filled immediately (which retail doesn't have the $ to do) to secure a bigger share of the pie