Pro-Rata Matching

Pro-Rata matching is an alternative to Price-Time priority often found in futures and high-volume derivative markets. Instead of rewarding the first participant to arrive, this method distributes an incoming order among all market participants currently providing liquidity at that specific price level.

The distribution is calculated based on the size of each participant's order relative to the total size available at that price. This encourages participants to provide larger amounts of liquidity to the order book, as larger orders receive a larger share of the fill.

It effectively reduces the incentive to race for the absolute fastest connection to the matching engine. However, it can make it harder for small retail traders to get their orders fully filled during periods of high volatility.