What Is the Difference between Price-Time Priority and Pro-Rata Order Matching?
Price-time priority is a standard order matching rule where the best price is matched first, and among orders at the same price, the one submitted earliest in time is matched first. Pro-rata matching, conversely, also prioritizes price, but for orders at the same best price, the remaining volume is distributed proportionally based on the size of each order.
Price-time is common for single-venue CEXs, while pro-rata is often used in futures or options markets.
Glossar
Continuous Limit Order Book
Matching ⎊ The core function involves an automated system where incoming buy and sell limit orders are paired based on price priority and time priority rules.
Order Matching
Execution ⎊ Order matching represents the core process by which buy and sell orders for cryptocurrency, options, and derivatives are systematically paired and transacted, establishing price discovery within electronic markets.
Pro-Rata Matching
Allocation ⎊ Pro-Rata Matching is a trade matching algorithm used by an exchange's matching engine to allocate execution volume among multiple resting orders at the same best price level.