Algorithmic systems
What is the Pro-Rata Allocation Algorithm and how does the CME use it to split fills in fixed-income interest rate products?
By Easy Money Scanner · Educational reference · Not investment advice
The short answer
Pro-rata allocation fills resting orders proportionally to their size at a given price, rather than strictly by time, used mainly in CME interest rate futures such as Three-Month SOFR futures (the successor to Eurodollar futures, which CME fully converted/retired by mid-2023 with the transition away from LIBOR).
How it works
This algorithm rewards larger resting orders with proportionally larger fills, differing from FIFO's time-priority method common in index products.
An example
A large Three-Month SOFR futures order gets a proportionally bigger fill share.
Risk & limitations
Allocation formulas vary by product and can change without notice.
Examples are hypothetical, not trade recommendations. US contract and regulatory references do not automatically apply in Canada. Rules, margin requirements and broker policies can change; confirm them with the relevant authority and your broker.