Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

I know what the NBBO is but I've seen mention of ABBO and I'm not sure what it means?

share|improve this question
add comment

2 Answers

up vote 2 down vote accepted

From the Turquoise features document:

6.3. Away Market Best Bid and Offer (ABBO)

6.3.1. The ABBO is defined as the Best Bid and Offer prices as represented by an aggregation of relevant European Order Books as defined by Turquoise. An external market’s Best Bid and Offer will only be part of the ABBO when that market is in Continuous Trading. Turquoise will advise for each security which external markets will be included in ABBO by a Market Notice and on the Turquoise Website. Turquoise will provide a reasonable period of notice prior to implementing any change.

6.3.2. If there are no orders in the relevant European Order Books as defined by Turquoise or if the markets are closed the ABBO is deemed to be undefined.

6.3.3. The ABBO can be set in smaller tick sizes than Turquoise tick size.

In other words, it's the best price from all other exchanges. Ie, NBBO minus this exchange.

share|improve this answer
add comment

Well it's the best away from the market quote on the bid and ask side. Or put in terms of level 2 quotes, the highest bid below the top level and the lowest ask above the top level.

share|improve this answer
add comment

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.