竞价方式下同一价位的成交机制研究

随着计算机与网络技术的发展,当今绝大多数金融市场都实现了电子化交易。电子化交易的交易方式主要包括匿名竞价交易及双边询价交易。该文针对竞价交易方式下同一价位的成交机制,即交易分配算法进行了研究,介绍了按比例分配、价格/时间及基于时间的按比例分配这三种主流的交易分配算法,并对三种算法的特点进行了比较研究。

On mechanism to execute same-price orders under anonymous mode

With the development of computer and network technology, most financial markets in the world are now trading electronically. E-trading can be done in the anonymous mode and OTC mode, among others. Focusing on the mechanism to decide which orders to execute at the same price under the anonymous mode of price priority, this paper studies and compares the trade allocation algorithm of three mainstream forms: Pro-Rata, Price/Time, and Time Pro-Rata.