高频交易小专题讨论_2精品.pdfVIP

高频交易（二） tanxiaojun@ 预览 ? NBBO，SIP 和 flash order ? 暗流动性（续） ? 对暗流动性进行估计 ? 暗流动性探测 ? 委托单插队 ? 跟踪其他交易者的委托单 话题7：NBBO，SIP 和 flash order NBBO和SIP 的概念 ? Reg NMS ：U.S. Regulation National Market System ? NBBO ：national best bid best offer ? SIP：securities information processor 监管要求：以最优价格成交 ? Bars marketplaces from trading at prices that are worse than the NBBO. ? Route the order to the trading venue that is currently offering the best price or cancel the order. 闪电委托单（flash order ） ? If a flash order cannot be executed against available liquidity at the marketplace where it