There are a number of different matching algorithms at different exchanges. Time-based FIFO is most common, but there is also mixed FIFO/pro-rata, pure pro-rata, size priority, etc. Why would an ...
What is called "high frequency quoting" or "quote spam" in the context of high frequency trading? Why do some people consider that as a problem for the market?
I'm working on backtesting a number of stock trading strategies and need to estimate how much the execution price will likely deviate from the historical close price for that asset using daily data; ...
Consider a market participant $A$ who is mechanically following an automated liquidity providing algorithm (HFT) in a number of large cap stocks on a specific exchange. Assume furthermore that we are ...