CoachA 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.
Quantitative Finance · Begrippenlijst
Wat is Spray order, quote fade?
Ook bekend als: spray order · quote fade