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Quantitative Finance · Glossary

What is Pegged order, midpoint peg?

Also known as: pegged order · midpoint peg

Definition 2.5 Microstructure and Execution · Chapter 2 — Order Types and Their Uses

A pegged order has no fixed price: the venue sets it from a reference quote and resets it whenever the reference moves, within an optional limit. A primary peg follows the best quote on its own side; a midpoint peg rests hidden at the midpoint of the best bid and best ask.

Two display conditions. Top: an iceberg shows one slice; when it is consumed, the venue shows the next slice at the back of the queue. Bottom: a midpoint peg rests, invisible, halfway between the best bid and ask.
Figure 2.2. Two display conditions. Top: an iceberg shows one slice; when it is consumed, the venue shows the next slice at the back of the queue. Bottom: a midpoint peg rests, invisible, halfway between the best bid and ask.
Detecting icebergs from the public feed: the share of true refills a strict and a loose detector flag (left) and their false alarms (right), for a venue iceberg and for an algorithm refilling immediately, after a random delay (mean 200 ms), and with a random size (up to 30% either way); 30 000 shares shown 300 at a time in a simulated half hour. Data: mx_ordertypes.iceberg_study.
Figure 2.3. Detecting icebergs from the public feed: the share of true refills a strict and a loose detector flag (left) and their false alarms (right), for a venue iceberg and for an algorithm refilling immediately, after a random delay (mean 200 ms), and with a random size (up to 30% either way); 30 000 shares shown 300 at a time in a simulated half hour. Data: mx_ordertypes.iceberg_study.
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