New answers tagged market-microstructure
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I would hesitate to call a size-adjusted price the "fair". There was some confusion in the comments since a "fair" is the intrinsic value, such as the NAV of an ETF.
I am also concerned with any manipulation of a quote that brings the bid and ask inwards. Your example converts 6.01 to 6.012, which would indicate that I could sell my own contract to the ...
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