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Quantitative Finance · Glosario

¿Qué es Relative limit price?

Definition 3.1 Microstructure and Execution · Capítulo 3 — Empirical Facts of Order Books

The relative limit price of a new limit order is its distance, in ticks, from the best price on its own side when it arrives: positive behind the best, zero at it, negative when it improves it.

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