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Quantitative Finance · Glossary

What is Reference price waiver and large-in-scale waiver?

Also known as: reference price waiver · large-in-scale waiver

Definition 11.7 Markets I: The Ecosystem and Exchange-Traded Markets · Chapter 11 — European Equity Market Structure

Under the reference price waiver a venue need not display orders that execute at a price taken from another market, in practice the midpoint of the primary exchange’s quote. Under the large-in-scale waiver it need not display an order that is large compared with normal market size for that share.

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