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System and method for managing an imbalance in a hybrid auction market
System and method for managing an imbalance in a hybrid auction market
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机译:用于管理混合拍卖市场中的失衡的系统和方法
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摘要
A large market order to buy is received causing an imbalance. A portion of the market order is executed at a best offer price. A quote is changed from fast to slow, and a remaining unexecuted size of the market order is calculated. The unexecuted size of the market order is quoted at the best offer price, and the best bid size is quoted as 100 shares. The best bid price is quoted as a gap price. In a similar fashion a large market order to sell results in a gap quote.
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