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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Pegged order, midpoint peg؟

يُعرف أيضًا باسم: pegged order · midpoint peg

Definition 2.5 Microstructure and Execution · الفصل 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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