commit 296f89246939091a963d19dc50e01bf4dcd6ce2c
parent b659bbd0ae37ba9798a295f88df09e28ab6d4ba5
Author: Shimmy Xu <shimmy.xu@shimmy1996.com>
Date: Thu, 7 May 2020 17:30:00 -0500
Correct typo
Diffstat:
1 file changed, 1 insertion(+), 1 deletion(-)
diff --git a/notes.org b/notes.org
@@ -185,7 +185,7 @@ Whenever such a matching occurs, it does so at the price of the limit orders, wh
Most common priority rules include price-time and pro-rata. Priority rules do affect trader behaviors. Time priority rewards trades for displaying liquidity early, while pro-rata rewards traders for displaying more liquidity.
-The actions of traders in an LOB can be expressed solely in terms of the submission or cancellation of orders of lot size \(\v_{0}\). Common order types include stop orders, iceberg orders, IOC/FOK orders, and market-on-close (MOC) orders. A MOC order is a market order that is submitted to execute as close to the closing price as possible, mostly to take advantage of the larger liquidity at close.
+The actions of traders in an LOB can be expressed solely in terms of the submission or cancellation of orders of lot size \(v_{0}\). Common order types include stop orders, iceberg orders, IOC/FOK orders, and market-on-close (MOC) orders. A MOC order is a market order that is submitted to execute as close to the closing price as possible, mostly to take advantage of the larger liquidity at close.
For exchanges that are closed overnight, beginning and end of trading day may see so much volume that LOB trading would be prone to instabilities, so exchanges prefer to use auctions at those times. Auction clearing price is visible throughout, and traders can use this information to adjust their orders.