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Quantitative Finance · Glossaire

Qu'est-ce que « Imbalance-offsetting order » ?

Definition 16.1 Market Making and High-Frequency Trading · Chapitre 16 — Auctions and the Close

An imbalance-offsetting order is a closing-auction order on the opposite side of a published imbalance, priced and sized to trade only if the auction needs it: a sell against a buy imbalance, a buy against a sell imbalance.

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