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Quantitative Finance · Glossary

What is Latent liquidity, latent order book?

Also known as: latent liquidity · latent order book

Definition 13.1 Microstructure and Execution · Chapter 13 — Metaorders, Latent Liquidity and Cross-Impact

Latent liquidity is the intention to trade at a price that has not been placed in the book, because its owner waits for the price to come near. The latent order book is the density of these intentions by price, of which the visible book is the small part closest to the price.

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