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Quantitative Finance · Glossary

What is Locked and crossed markets?

Also known as: locked market · crossed market

Definition 8.3 Microstructure and Execution · Chapter 8 — Fragmentation and Routing

The market is locked when the best bid on one venue equals the best offer on another, and crossed when it is higher. Neither can happen within one book, whose matching engine would trade the two; across venues each book sees only itself.

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