Coding
Order Books

Pro-Rata Fill Allocation

Premium
Difficulty

Asked at IMC Trading, Akuna Capital

Theory: Order Books and Matching

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xxxx xxxxxx xxxx x xxxxx xxxxx xx xxxx xxxxx: xxxxx xx, xxxxx xxxxxx. xxxx, xxxxxxx xx xxxxxxx xxx xxxxx-xxxx xxxxxxxx xxxx xxxxxxx, xxxx xxx xxxx xxxxxxx, xxxxxxxxx xx xxxxxxxx xxxxx xxxxxx xxxxxxxx xxxxxxx xx xxxxxxxxxx xx xxxxx xxxx. xxxx xxxxxx xxxxxx xxxxxxx xxxxxxx xxxx xxxxxx xxxx xxxxx xxxx, xxx xx xxxxxxxx x xxxxxxxxxx xxxxxxxxx xxx xx xxxxxxxxxxxx.

xxxxxxxxx xxxxxxxx_xxx_xxxx(xxxxxxx, xxxxxxxx, xxx_xxx).

  • xxxxxxx xx xxx xxxxx xx xxx xxxxx xxxxx, (xxxxx_xx, xxx) xx xxxx xxxxxxxx, xxxxxx xxxxx.
  • xxxxxxxx xx xxx xxxxxxxxxx xxxxxxxx xxxxxxxx, x xxx-xxxxxxxx xxxxxxx.
  • xxx_xxx xx xxx xxxxxxxx xxxxxxxxxx xx xxxxx xxx xxxxxxx xxx xxxx.

xxxxxxxx xx xxxxx xxxxxx, xx xxxx xxxxx:

x. xxx xxxx. xxxx xxxxxxx xxxxx xxxx ( xxxxxx xxxxxxxx xxxxx xxx_x / xxxxx xxxxxx ) xxxx, xxxxx xxxxx xx xxx xxx xx xxx xxxxxxx xxxxxxxxxx. x. xxxxx xxx xxxxx. xxx xxxxx xxxxxxxx xxxxx xxx_xxx xxxxxxx x. xxx xxxxx xxxxxx xx xxxx x xxxx xxxxx xxxxxxxxx xx xxxxxxxx xxxxx xxxx xxxxxxx, xx x xxx-xxxxxxx xxxxx xx xxxxxxx, xxx xxxxxxx xx. x. xxxxxxxx xx xxxx xxxxxxxx. xxxxxxxx xxxxxxx xxxxxxxxxxx, xxxxxxxxx xxxxxxxxxx xxxxx xx xxxxx x, xx xxxxxx xxx xxx xxx xx x xxxx xxxxxxx xxx xxxxx xx xxxx xxxxx, xxxxxxxxxx, xxxxx xx xxxx xxx xx xxxxx xxxxx xx xxxx.

xx xxxxx xxx xxxx xxxxxxx xxxx xxxx xxx xxxxxxx xxxxxxxx. xx xxxxxxxx xxxxxxx xxx xxxxx xxxxxxx xxxxxxxx, xxxxxxxx xx xxxxxx xxxxxxxxxx xxx xxx xxxxxx xx xxxxxx xxx xxxxxxxxx.

xxxxxx (xxxxx_xx, xxxxxxxxx) xxx xxxxx xxxxxxx xxxxx, xx xxx xxxxxxxx xxxxx.

xxxxxxxx

xxxxxxxx_xxx_xxxx([(x, xxx), (x, xx)], xxx, x)
# [(x, xx), (x, xx)]

xxxxxxxx_xxx_xxxx([(x, xx), (x, xx), (x, xx)], xx, x)
# [(x, x), (x, x), (x, x)]

xxx xxxxx xx xxxxx xxx xxxx: xxxxx xxxxx xxx xxxx xxxx xxxxx xxxxx xxx xxxx, xxxxxxxxxx xx xxx xxxxxxx xxxxx.

xxx xxxxxx xx xxx xxxxx xxxxx xxx xxxx. xxxx xxxxx'x xxx-xxxx xxxxx xx ( xxxxxx xx xxxxx xx / xx xxxxxx = x ), xxxxx xxx xxxxxxx xx x, xx xxx xxxxx xxx xxxxxx xxx xxx xxxxxx xx xxxx xxxx xxxxxxx xx xxxxx x. xxxx xxxxxxxx xxxx xxxxx xxxx xxx xx xxxxxxxx, xxx xxx xxxxxx xxxxx xxxx xx xxx xxxxx.

xxxxxxxxxxx

  • x <= xxx(xxxxxxx) <= xx^x, xxxxxxxxxx xxx xxx-xxxxxxxx xxxxxxxx.
  • xx xxxxx xxxxx, x xxxx xxxxxxxx xxx xx xxx-xxxx xxxxx xxxx xxxx xxxxxx xxxxx xxxxxx xxxx xxxxxxxx xx xxxx.
  • xxx xxxxx xxxxxxxxx xxxx xxxxx xxx(xxxxxxxx, xxxxx xxxxxxx) xxxxxxx.

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Language: Pythonallocate_pro_rata
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