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Quantitative Finance · Glossary

What is Firm-up rate?

Definition 9.5 Microstructure and Execution · Chapter 9 — Dark Pools and Blocks

A participant’s firm-up rate is the share of the invitations it receives to which it responds with a firm order. Block venues track it and restrict participants whose rate is low, because a conditional that does not firm up has learnt that the other side exists at no cost.

A conditional block. Two non-binding orders meet, the venue invites both to firm up within a timer, and only two firm orders trade. A participant who lets invitations lapse learns about the other side without trading.
Figure 9.1. A conditional block. Two non-binding orders meet, the venue invites both to firm up within a timer, and only two firm orders trade. A participant who lets invitations lapse learns about the other side without trading.
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