Markets with time priority rules incentivize efforts to increase trading speeds. In particular, revenues resulting from liquidity provision due to discrete pricing can often accrue to the fastest traders, those who can hold favorable queue positions. We examine the impact of precedence rules for a single market that switched to a first-in-first-out (FIFO) matching algorithm from one primarily based on pro-rata. Due to a technology issue, in May 2015 the two year Treasury futures contract unexpectedly switched from partially pro-rata to FIFO for several days. We study the effects of this switch through a difference-in-difference comparison with a related futures contract that had no change in priority rules. We find that compared to FIFO, orders placed later in time are significantly more profitable under pro-rata. However, the lower profitability of earlier orders in the queue under pro-rata matching causes prices to be less efficient under pro-rata rules. Secondary results find that order sizes and cancellations increase under pro-rata. While analyzed using the Treasury futures market, our findings are applicable to commodity futures as well, where both FIFO and pro-rata are widely used.

具有时间优先权规则的市场激励人们努力提高交易速度。特别是，由于离散定价而提供的流动资金所产生的收入通常可以归结为交易速度最快的交易者，那些交易者可以保持有利的头寸。我们研究了优先规则对单个市场的影响，该规则从主要基于比例的市场切换到先进先出（FIFO）匹配算法。由于技术问题，2015年5月，为期两年的美国国债期货合约意外地从部分按比例转换为FIFO。我们通过与优先权规则没有变化的相关期货合约进行差异比较来研究这种转换的效果。我们发现，与FIFO相比，按时交货的订单在按比例分配时的利润要高得多。然而，在按比例匹配的情况下，队列中较早订单的较低利润率导致价格在按比例规则下效率较低。次要结果表明，按比例增加订单数量和取消订单数量。在使用美国国债期货市场进行分析时，我们的发现也适用于大宗商品期货，因为FIFO和按比例均被广泛使用。