Hot answers tagged


When fees are not symmetric, to take fees into account on orderbook needs to know if you want to provide or consume liquidity: you have in fact two different views (ie two ranking) on the same orderbook: Say you are a buyer, and do the calculation for the first limit only. $P^B(i)$ and $P^A(i)$ are respectively the prices at the bid and ask on venue $i$, ...

Only top voted, non community-wiki answers of a minimum length are eligible