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Quantitative Finance · Glossaire

Qu'est-ce que « Top-order allocation and lead market maker » ?

Aussi appelé : top-order allocation · lead market maker

Definition 19.3 Markets I: The Ecosystem and Exchange-Traded Markets · Chapitre 19 — Matching Algorithms and Implied Spreads

A top-order allocation gives the order that first improved the market, establishing a new best price, a priority allocation before any other rule applies. A lead market maker is a firm which, in exchange for quoting obligations, receives a set percentage of each incoming order at the best price before the rest is allocated.

Pro rata with a minimum allocation of two lots: what a newcomer at the back of a 1 000-lot level receives from a 100-lot aggressor, against the size it shows. Below 21 lots it receives nothing. Data: .
Figure 19.2. Pro rata with a minimum allocation of two lots: what a newcomer at the back of a 1 000-lot level receives from a 100-lot aggressor, against the size it shows. Below 21 lots it receives nothing. Data: Proposition 19.4.
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