The answers from these two replies seem to contradict each other. The first numerator is bidSize*bidPrice + askSize*askPrice but the second is bidSize*askPrice + askSize*bidPrice. Price functions ...
I am trying to find out what is the purpose of "repeating groups" in FIX and what exactly do they represent? Are they all related to the same order and if so, why do you need repeated tags? If they ...
I'm trying to calculate the 'true value' of a stock listed on an exchange. I have access to the limit order-book (containing all bid/ask quotes) and also all trades which have taken place (which ...
Today I was speaking with someone involved in high frequency trading. They were mentioning hidden orders, queue positions (which can be lost in the orderbook based on certain order modifications), ...