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Quantitative Finance · Glossaire

Qu'est-ce que « Liquidity aggregator, request for stream, firm liquidity » ?

Aussi appelé : liquidity aggregator · request for stream · firm liquidity

Definition 21.1 Microstructure and Execution · Chapitre 21 — Execution Beyond Equities

A liquidity aggregator collects the streaming quotes of several liquidity providers into one book and routes each request to the best price. A request for stream asks providers to start streaming executable prices for a stated size to one client. Firm liquidity is liquidity whose quotes fill when hit, with no last-look window in which the provider may reject.

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