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Quantitative Finance · Glosario

¿Qué es Market by price and market by order?

También llamado: market-by-price · market-by-order

Definition 19.9 Markets I: The Ecosystem and Exchange-Traded Markets · Capítulo 19 — Matching Algorithms and Implied Spreads

A market-by-price feed publishes, for each price level, the total quantity and the number of orders. A market-by-order feed publishes every order individually, with an identifier and its priority, and every change to it.

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