medium · Market Microstructure lob
A dark pool uses a midpoint-pegged FIFO queue. At a given moment, the NBBO is 20.00 -20.10. Trader A pegs 1,000 shares at 10:00:00. Trader B pegs 500 shares at 10:00:05.
If the NBBO moves to 20.05 -20.15, what is the queue priority for a midpoint cross?
- Priority is switched to pro-rata matching.
- The queue resets and priority is randomized.
- Trader B moves to the front.
- Trader A remains first in queue.
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