medium · Order Flow Analysis market-mechanics-execution
What happens to the bid-ask spread immediately after an aggressive buy order 'walks the book' and consumes the first two offer levels?
- The spread remains constant due to high-frequency trading (HFT) algorithms.
- The spread widens until new limit sell orders are placed at lower prices.
- The spread narrows.
- The bid price automatically adjusts upward to match the new offer.
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