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Quantitative Finance · Glossaire

Qu'est-ce que « Quoted depth » ?

Definition 16.8 Markets III: Commodities, Energy and Crypto · Chapitre 16 — Spot Markets

Quoted depth is the quantity resting in an order book within a stated distance of the mid price, for example within 10 basis points on each side, summed over price levels and expressed in the quote currency.

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