Support Board
Date/Time: Sun, 26 Jan 2025 07:02:37 +0000
Post From: size Pro Rata order matching algorithm in backtest and live sim
| [2019-02-04 19:37:44] |
| Chad - Posts: 234 |
|
Hello, I'd like to know the basic scheme of the order execution logic in the backtest and/or live sim environment when working markets with a size Pro Rata matching algorithm. To be specific, I'm looking at exchange-supported calendar spreads of futures in LIFFE Euribor and Short Sterling mostly, but this would extend to CME Eurodollar fut spreads as well. I know the basic difference between size Pro Rata and FIFO, but want to know how accurate Pro Rata would be in backtest/sim relative to live trading, and if there are any nuances I should be aware of for such simulation. |