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Quantitative Finance · Glossary

What is Pricing basket?

Definition 12.1 Market Making and High-Frequency Trading · Chapter 12 — ETF Market Making

A pricing basket is the set of instruments, weights and adjustments a market maker uses to compute an ETF’s fair value in real time: the fund’s holdings where they trade, a model price where they do not (the last price moved by a liquid proxy), the currency, the cash and accrued income, less the fund’s fees.

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