3 ms·
You need to have a book in the first place though. If the instrument is highly illiquid the spread might be huge and the price have little real world relevance.
by gpderetta 3y ago
You need to have a book in the first place though. If the instrument is highly illiquid the spread might be huge and the price have little real world relevance.
For liquid books, yes definitely I would expect these sort of checks (tipically against historical prices) to be in place.
- artursapek 3y agoUh yeah if you don't even have a reasonably liquid order book then yes your price action will suck no matter what lol