Timeline for Does a trade always change the mid-price?
Current License: CC BY-SA 3.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 9, 2017 at 18:29 | comment | added | Swagato Acharjee | Off late many exchanges have hidden liquidity at midpoint. nasdaqomx.com/transactions/trading/midpoint . If your order is configured to trade against those shares, the trade will not change the mid. Although it would be mostly applicable for institutional flow. | |
| Mar 7, 2017 at 16:02 | vote | accept | F.F. | ||
| Mar 7, 2017 at 13:43 | comment | added | Chris Taylor | It's also possible, in markets with quantized time (e.g. many currency ECNs), for a trade to happen that takes out one or more price levels without changing the mid price. | |
| Mar 7, 2017 at 13:41 | comment | added | Bob Jansen♦ | Excellent point! I've added it to my answer. | |
| Mar 7, 2017 at 13:41 | history | edited | Bob Jansen♦ | CC BY-SA 3.0 |
Add comment about no trade necessary
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| Mar 7, 2017 at 13:38 | comment | added | nimbus3000 | Also, the mid can change without any trade at all. if you assume that there is only one guy standing at the best bid or best ask and he cancels his order, the mid would change. | |
| Mar 7, 2017 at 13:34 | history | answered | Bob Jansen♦ | CC BY-SA 3.0 |