Decide if an agent writes your pro-rata matching rule
Your task
Your firm's trading engine is written in C++. You are adding a matching rule: orders at the best price fill pro rata, in proportion to their size, with rounding and tie-break rules that only your firm uses. The new code must agree with an existing reference implementation on every fill, down to the last share. A teammate wants an AI agent to write the whole matching loop from a one-paragraph description.
Do you agree? Decide what the agent may write, what you keep, and how you prove the result is right.
It covers
- Novel algorithm
- When not to use
- Correctness critical