Bid, Ask and Trade Prices

Zhaodong Wang and Weian Zheng

Chapter 8 in High-Frequency Trading and Probability Theory, 2014, pp 155-158 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The bid-ask spread is the difference between the prices quoted for an immediate purchase (ask) and an immediate sell (bid). In Section 3.2.2, we have a few graphs to show the relative position of bid-ask-last price. For the statistical arbitrage using paired products, one needs to buy at the ask price and to sell at the bid price to increase the rate of successes. However, the profit of each trade is so thin in high-frequency trading (HFT). When one trade Chinese stocks index futures contracts, one tick (0.2 point) of difference will be roughly the profit of each trade. Thus, it is natural to ask if there is other way to give the trading order. That is an important problem in HFT…

Keywords: High-Frequency Trading; Algorithm Trading; Program Trading; Technical Analysis (search for similar items in EconPapers)
Date: 2014
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