Lee–Ready Algorithm

Market Microstructure Glossary

A two-step method for classifying trades as buyer- or seller-initiated: first compare the trade price to the prevailing quote midpoint (quote rule) — above the midpoint is buyer-initiated, below is seller-initiated; if the trade prints exactly at the midpoint, fall back to the tick test, which classifies the trade by the direction of the most recent transaction price change (uptick → buy, downtick → sell).

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