Fair Order Matching on LOBSTER NASDAQ benchmark leaderboard · SOTA2 Research

Fair Order Matching on LOBSTER NASDAQ

0.85SpreadUnconstrained PPO

Evaluation Results

Method	Links
Unconstrained PPO2026.04		0.85	5,250	95	8,500	12	0.95	45.5	100	—	—	—
CPO-FOAM2026.04		0.95	4,850	91	8,150	15	1.02	1.2	2.5	5	5	1.8
No Spectral Norm2026.04		0.98	4,680	89	7,950	16	1.05	22.5	6.5	25	15	8.5
PI-only Controller2026.04		0.98	4,720	90	7,850	16	1.04	1.8	4.5	18	12	4.5
P-only Controller2026.04		1.02	4,550	88	7,650	17	1.06	2.8	7.2	35	20	9.5
No PID (ξ = 0)2026.04		1.05	4,250	85	7,450	18	1.08	5.8	11.2	75	28	19.5
Lagrangian PPO2026.04		1.15	3,840	76	6,250	25	1.12	12.4	28.5	145	85	45.2
No Trust Region2026.04		1.18	3,800	78	6,450	28	1.14	11.5	25.5	130	82	41
PID-Lagrangian2026.04		1.2	3,750	74	6,100	28	1.15	9.5	14.5	45	35	12.5
RCPO2026.04		1.25	3,650	72	5,850	30	1.18	10.5	22.4	112	72	38.4
Vanilla CPO2026.04		1.35	3,580	70	5,450	32	1.2	6.5	12.4	64	45	18.2
No KL Projection2026.04		1.38	3,500	72	5,800	36	1.22	4.5	9.5	42	22	11.5
No Recovery Step2026.04		1.4	3,250	68	5,100	42	1.28	1.5	5.5	15	10	3.8
IPO2026.04		1.45	3,420	68	5,200	35	1.25	8.2	15.6	85	55	25.4
FIFO2026.04		2.45	1,250	42	4,200	85	1.45	18.5	100	—	—	—
Size-Time Interp.2026.04		2.65	1,650	40	4,100	88	1.52	20.1	100	—	—	—
Pro-Rata2026.04		3.1	1,840	38	3,850	92	1.6	25.4	100	—	—	—