[xnorswap]

It would be weighted by bid size. If there's $10m of bids one side and $5m of offers on the other, you match up the $5m on that side and every bid gets 50% settled.

I'm not sure I understand the problem with "waiting" for the end of the clock. The pool wouldn't be public so you couldn't get knowledge inspecting the pool. All bids and offers would be published on the clock and settled by weighing all the bids and offers against each other and matching by volume.

The trickier issue is what happens in this scenario (assuming limit orders):

Person A bids for 500 units @62

Person B offers 100 units @61 Person C offers 400 units @60

Clearly there needs to be full settlement, we have a bidder who wants to buy 500 units at a price which sellers are happy to sell at.

Correct me if I'm wrong, but in a traditional market it would depend on the order they came in.

Here we would need a formula to work out the correct settlement price. Intuitively this ought to be somewhere just above 61. ( If it were just two people, a bid at 62 and an offer at 60, you could intuit a fair settlement would be 61. )

I'm sure fair formulae can be derived however.

[WiSaGaN]

The general rule is HFT will have the elite level mathematicians to figure out what is the most optimal strategy is, and the most exotic hardware to implement it to the extreme. Other party will fall further behind given the more complex and unconventional exchange rule.

[gpderetta]

You trade latency arbitrage with statistical arbitrage were participants try to estimate the market and overbid to try to capture as much of the market as possible. That seems dangerous and unstable.

[renewiltord]

This is all gameable. Like he said, you just time it with an over-large order and let the remainder expire. Everyone gets 10% of their order but my order is 10x what I actually want so I actually get 100%.

[kasey_junk]

Per rata matching is already a thing in some financial markets. They tend to be _more_ latency sensitive as size gets inflated to game the matching algo, thus risk being inflated and thus the value of timely cancels.