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Quantitative Finance · Glossaire

Qu'est-ce que « Pro-rata allocation » ?

Definition 19.2 Markets I: The Ecosystem and Exchange-Traded Markets · Chapitre 19 — Matching Algorithms and Implied Spreads

Under pro-rata allocation an incoming order is shared among all resting orders at the best price in proportion to their sizes. Allocations are rounded down to whole lots, allocations below a product-specific minimum may be dropped, and what rounding leaves over is distributed by a secondary rule, often time priority.

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