5 ms·
Note (b) is surprising and I'm not sure I understand. Can you add more details to your example? If someone sells at 20.01, and I'm higher in the queue because
by jmilloy 15y ago
Note (b) is surprising and I'm not sure I understand. Can you add more details to your example?
If someone sells at 20.01, and I'm higher in the queue because I told the matching engine that I'm willing to accept 20.015, why would I ever not bid 20.0199...? Can someone sell at 20.02 but tell the matching engine they're willing to accept 20.015? Do we match? What does it execute at?
- lrm242 15y agoThey are only accepted at the midpoint. EDIT: It's just a feature of the matching engine. It's not really that complicated. The venue, let's say BZX, accepts an order from you to display a BID for 100 at 20.01 and you flag the order and tell the matching engine you'll accept 20.015. When someone comes along and wants to sell, let's say Grandma Sue, she might say: Sell 100 at MARKET. The displayed market is 20.01 / .02. With your bid in the market Grandma will get matched at 20.015, a .005 price improvement over the displayed bid of 20.01. This is a good thing.
- jmilloy 15y agoIt looks like MPL orders are undisplayed. Then how can they "display at a price but execute at a separate price"? Or, what does it mean when I read "The MPL order is an undisplayed limit order that is priced at the midpoint of the Protected Best Bid and Offer (PBBO)" if it doesn't actually mean undisplayed. edit: ah the above edit helps. thanks.
- lrm242 15y agoThere is confusing terminology amongst venues. The key points are: you can execute at the midpoint or at any discretionary offset from the primary or market.
- Strilanc 15y agoIt sounds like they display at a lower accuracy than what you may actually specify, and there's a bit of jiggering to allow the displayed request and true request to both be 'accurate'.