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Quantitative Finance · Begrippenlijst

Wat is Minimum execution quantity?

Definition 9.1 Microstructure and Execution · Hoofdstuk 9 — Dark Pools and Blocks

A minimum execution quantity on a resting dark order is the smallest fill it accepts: an incoming order that cannot trade at least that much with it passes it by. On an incoming immediate-or-cancel order it is the smallest total fill worth taking.

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