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Quantitative Finance · Glossary

What is Non-execution risk, clean-up trade?

Also known as: non-execution risk · clean-up trade

Definition 17.2 Microstructure and Execution · Chapter 17 — Child-Order Placement

Non-execution risk is the chance that a passive order is not filled by its deadline, and the cost of what must then be done. The clean-up trade is that remedy: at the deadline the unfilled remainder is cancelled and sent as a marketable order, at whatever the price has become.

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