Euronext.liffe to Launch Stirs Algo
The new algorithm, dubbed Time Pro Rata, allocates volume to resting orders by considering their size and their relative time of entry to the market, say officials. The larger the resting order, the greater the share of the allocation; and the earlier the resting order was placed in the market, the greater the share of the allocation, against a matching incoming order, officials say.
“The new algorithm will allow customers to work between volume and time to be able to try and get a better
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