Forums  > Software  > method to simulate 'size Pro Rata' order matching in a simulation/backtest?  
     
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JTDerp


Total Posts: 50
Joined: Nov 2013
 
Posted: 2019-01-29 17:43
I've got unfiltered tick and quotes data for several STIR products (Euribor, Sterling, Eurodollar), and trying to perform a backtest but the Pro Rata order matching engine isn't something that seems easily modeled, at least compared to FIFO with metrics on order flow.
Any suggestions on a method to approximate a PR matching engine in such testing?

"How dreadful...to be caught up in a game and have no idea of the rules." - C.S.
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