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ADV - Average daily volume, usually expressed as % of order quantity divided by ADV. For example: An order for 100k shares in which the stock trades 1m a day is 10% ADV
DVC - Double volume caps, when an instrument trades more than 8% of all its volume on a dark venue. Dark trading is limited to above LIS. If an individual dark venue is responsible for more than 4% of dark volume for a particular instruments, dark trading on that venue is restricted to above LIS.
Link here https://www.esma.europa.eu/double-volume-cap-mechanism
DVC
ADV
EBBO - European Best Bid Offer - The best bid price and offer price when taking all European displayed venues into account
EBBO
EMS
LIS
MAQ
EMS - Execution management system - an application for managing market execution (sending child orders out to the market)
LIS - Large in scale depending on the instrument is a variable size of stock in notional usually circa €500k
MAQ - Minimum acceptable quantity, the smallest amount in shares that will be accepted by the venue
MES
PBBO
OMS
RDV
MES - Minimum execution size, the smallest acceptable fill during your execution
OMS - Order management system, an application that manages orders and the way they are routed
PBBO - Primary Best Bid Offer - The best bid price and offer price on the primary exchange
RDV - Remaining daily volume, usually expressed as % of order quantity divided by RDV. For example: An order for 100k shares in which the stock is estimated to trade 1m in the time remaining in a day is 10% ADV
TAL
Fill Rate
TAL - Trading at last, the trading period after the closing auction where trading can only take place at the closing price
Fill rate - Filled shares / shares sent to venue expressed as a %. For example, if 90shs of a 100 share order fills on a venue. This venue had a 90% fill rate
Hit Rate
Hit rate - Orders with trades / orders sent to that venue. For example, over a period of time if 100 orders were sent and 37 of them received fills/trades the hit rate is 37%
Midpoint (MP)
Primary Exchange
Midpoint (MP) - The mean average or "mid" price of the best bid and offer
Primary Exchange - The exchange where the instrument was initially listed, for example London listings are on the LSE.
Make Taker
Maker/Taker - An exchange ran model that pays the participant via a rebate for the liquidity that is posted (maker) and charges for participants who cross the spread for liquidity (taker)
Contra
A|B Testing
Contra - In trading, contra orders are those which are the opposite side/way to the other order in question. For example: the contra to a buy order is a sell order and vice versa.
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