easy · Market Microstructure spread-econ
According to the Lee-Ready algorithm, if a trade occurs at exactly the midpoint of the prevailing bid and ask, how is the trade direction classified?
- By checking the sign of the most recent posted quote update.
- By the side of the order book showing greater displayed depth.
- As a neutral trade that is simply excluded from order imbalance calculations.
- By using the 'tick test' based on the last transaction price change.
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