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Quantitative Finance · Begrippenlijst

Wat is Complex order book?

Definition 24.5 Markets I: The Ecosystem and Exchange-Traded Markets · Hoofdstuk 24 — Options Market Structure

A complex order book is a book for multi-leg strategies (spreads, straddles, combinations with the share) quoted at one net price and executed as a unit. A complex order can trade against other complex orders or, leg by leg, against the simple books, the exchange ensuring that every leg prints at a permitted price.

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