medium · Market Microstructure mmf-core
A sequence of trades and quotes shows a trade price of $50.03 when the prevailing NBBO is $50.01 bid / $50.05 ask.
If the previous trade was at $50.02, how would the Lee-Ready algorithm classify this trade?
- Noise-trade-initiated
- Seller-initiated
- Buyer-initiated
- Inconclusive
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