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Quantitative Finance · Glosario

¿Qué es Spray order, quote fade?

También llamado: spray order · quote fade

Definition 18.3 Microstructure and Execution · Capítulo 18 — Smart Order Routing

A spray order sends marketable pieces to several venues at the same moment, so that they arrive in the order of the router’s latencies. Quote fade is the disappearance of displayed quotes between the moment a router sees them and the moment its orders arrive, typically because a liquidity provider cancels on seeing a fill elsewhere.

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