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Quantitative Finance · Glossário

O que é Tick size, price level?

Também chamado de: tick size · price level

Definition 1.2 Microstructure and Execution · Capítulo 1 — The Limit Order Book

The tick size δtick\delta_{\mathrm{tick}} is the smallest price increment a venue accepts for an instrument: every limit price is an integer multiple of it. A price level is the set of resting orders on one side of the book at one price.

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