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Quantitative Finance · Glossário

O que é Auction cut-off time?

Definition 10.1 Microstructure and Execution · Capítulo 10 — Auction Mechanics and Theory

An auction cut-off time is the moment after which some orders can no longer be entered, modified or cancelled for the auction, typically market-on-close and limit-on-close orders, while orders that offset the published imbalance may still be accepted.

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