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Market makers provide liquidity to the market by quoting bid and ask prices for most of the time. The pricing in absolute terms is not as important as finding relative mispricing. The market microstructure is often used to develop trading strategies.

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Checking short term supply and demand in the stock market

I am implementing a pretty simple market making strategy. I want to see if the demand is higher than the supply in the short term so that I will be able to buy and sell decently fast. My goal is to be …
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