If you pick 0.25% and I pick 1%, then I make (or lose) 4 times as much as you. Simple as that.
This sounds like one of those problems that you don't truly understand until you try to code it. Then you throw away the first attempt and start over.
Maybe it really is that simple... but it has to be done in a way that scales so it doesn't drag down performance. I hope dooglus will share some details after he's wrestled with the implementation.