The trade sign is when a trade was initiated by a buyer (an order that took the ask) and when initiated by a seller. The tick rule signs a trade if its price is above the last different trade price and if below. The quote rule signs it if its price is above the prevailing mid and if below. The Lee–Ready algorithm applies the quote rule and falls back on the tick rule for trades at the mid.
Quantitative Finance · المسرد
ما معنى Trade sign, tick rule, quote rule, Lee–Ready algorithm؟
يُعرف أيضًا باسم: trade sign · tick rule · quote rule · Lee--Ready algorithm