How much venue or instrument-specific matching behavior actually matters

[tradingexpert]

Most replay and simulation systems implicitly assume a simplified FIFO-style execution environment. Most CLOB (Central Limit Order Book) setups follow this. But not all. And in fact, some important markets have variations that do truly matter.

In practice, matching behavior varies meaningfully across venues:

• FIFO vs pro-rata
• hidden liquidity handling
• iceberg refresh priority
• queue-jump mechanics
• maker protections
• cancel/replace semantics

An interesting question is not only how to model these differences, but when they materially change strategy behavior.

At what point does venue realism become necessary?