In efficient markets, asset prices are equal to their fundamentals. This classical view is considered valid for agricultural commodities' spot and futures markets. However, fragmentation of orders impacts price dynamics, leading to modification in spot and futures' trade frequency, relative trade frequency, and quantities exchanged. To highlight public policies on the impacts of fragmentation of orders, it is necessary to improve the understanding of its theoretical consequences. Based on a sequential trading framework, our main result showed that unbiased prices and a minimal volatility of fundamental basis are achieved not with optimal trade frequencies but with an optimal relative trade frequency.