Questions / Quant trading, Execution & microstructure
Rounding a pro-rata allocation
A fictional venue allocates 43 indivisible contracts pro rata among resting orders A=20, B=30, and C=50. It first floors each exact allocation, then assigns remaining contracts one at a time by largest fractional remainder. Ties use earlier arrival, in A/B/C order. How many contracts does A receive?
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Answer: 9 contracts
- Exact allocations are 8.6, 12.9, and 21.5, so the floor step assigns 8, 12, and 21 contracts. Two contracts remain; B and A have the largest fractions, making A’s final allocation 9.
Interview shortcut. Floor, then largest remainders: 8.6 → 8, plus one leftover.
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