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Pro rata matching

An allocation rule that fills every resting order at a price level in proportion to its size rather than by time priority.

Pro rata is used where the exchange wants to encourage deep quoting rather than speed, typically in short-term interest rate products where thousands of lots rest at every tick. Because size determines fills, market makers post far more than they intend to trade and rely on statistical fill rates.

The consequence for anyone else is that displayed depth overstates real liquidity. A screen showing 20,000 lots bid may thin dramatically the moment an aggressive seller arrives, because the quotes were never meant to be fully hit.

Example: you rest 200 lots in a 10,000-lot queue and a 1,000-lot seller arrives. You receive about 200/10,000 x 1,000 = 20 lots, regardless of whether you were first or last to arrive.

Related: matching-algorithm, sofr-futures, order-book, liquidity, level-2

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

Bid-ask spread in an order bookSell orders stacked above buy orders with a gap between the best of each.SELLERS (asks)50.0690050.051,40050.0460050.011,10050.002,30049.99800spread = 0.03BUYERS (bids)
The bid-ask spread. Buy orders sit below, sell orders above, and the gap between the best bid (50.01) and best ask (50.04) is the spread you pay to cross. Bar length shows the size resting at each price.

Educational only, not advice. Spotted an error? Post in Site Feedback.