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How accurately can complex option trades be signed? First grading against exchange truthtranslating…
1 min readUSAForem (DEV Community)
To build a dealer book from the options tape you must decide, print by print, who bought. For simple orders the quote rule does that. But on the day we measured, 40.2% of all SPX option prints were legs of multi-leg packages — and on those legs the quote rule is invalid by…