Optimizing FMEX Order Placement for Sorting Unlock Rewards

Summary

The document describes FMEX’s five-minute sorting-unlock cycles, which distribute credits among users according to the size of their resting orders at selected book levels. It frames order placement as an allocation problem: divide a fixed amount among price levels to maximize the share of each level’s reward, accounting for existing orders and the reward assigned to that level.

It contrasts placing all funds at the least crowded level with a greedy per-unit allocation and a direct optimization example. In the example, splitting funds evenly across two levels yields a larger stated reward than either putting everything at one level or following the greedy allocation. The proposed practical method repeatedly assigns small increments to the level with the highest marginal efficiency, calculated from reward weight and total order volume. The article suggests using smaller increments for finer allocation and notes that reward weights can be adjusted by distance from the market. Results depend on the stated reward rules and assumptions; the document does not provide independent validation or address changes in other traders’ orders after the snapshot.

Key ideas

• FMEX sorting rewards are allocated by order volume at specified book levels during periodic snapshots.
• The allocation objective is to maximize reward share across price levels given existing orders and a fixed order budget.
• A greedy allocation by current attractiveness may not maximize the overall reward once prior allocations are considered.
• The proposed procedure allocates increments to the level with the highest marginal efficiency.
• Smaller increments may improve allocation precision, while changing level weights can alter the preferred distribution.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.