I'm looking into backtesting and live sim/paper trading of STIR fut spreads, specifically LIFFE Euribor, Sterling and Euroswiss...and also CME Eurodollars. Given the matching algorithm for all of these markets is size Pro Rata AFAIK, most trading platforms that even support the LIFFE instruments don't have a provision for sPR, just FIFO. Checked with CTS, Rithmic, Sierra...nada.

Looks like TT's software supports it for backtest & sim though. Anyone here have experience with TT or other platform in this context and care to comment?

May I ask why LiFFE euribor spreads? Profile says CL,RB so just wondering what made u take this path? I use Qtrader and no ICE feed so can’t test + backtesting needs the more expensive CQG integrated client with that module


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We'll say for portfolio diversification I used to trade them years ago, but yea, CL RB etc are preferable.

I don't know of any COTS based solution. But unless you are overfilling to capture a portion of pro-rata matching, I think you can assume you only get filled when the price level clears. For Eurodollars I also believe the non spread LOB orders fill first, vs the implied spread orders. So using an auto-spreader if you plan to work a pro-rata based spread is kind of important. The exchange traded spread would likely be best for trades where you need immediate execution.