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Results tagged with limit-order-book
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user 28080
The prioritized list of resting orders held by the exchange. Each limit order represents an obligation to buy or sell. The most common type of order book is prioritized first by price and them by time. Another variation is the price/size book, where larger size results in higher priority.
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Locked/crossed prices in US equities
I'm trying to build a consolidated LOB from several direct feeds.
However, there are many instances in which for a given stock, the bid price in one venue equals or crosses the ask price in a differe …
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