medium · Market Microstructure lob
What is a potential disadvantage of pro-rata matching for a market's overall quality?
- It prevents high-frequency traders from participating in the market at all.
- It forces every trade in the book to occur at the midpoint of the NBBO.
- It eliminates all forms of price priority within the matching engine.
- It may lead to wider spreads due to reduced incentives for price improvement
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