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algorithmic-trading

Order Book Management - Update Market Event


Given an order book with a bunch of bids and asks, is it possible for an market update event to flip the side of one of the existing open orders from a bid to an ask or vice versa?


Solution

  • Short answer: YES

    But it depends on the exchange, if it supports updating only the buy-or-sell status of an active order. A few exchanges support this. However, I believe it is quite rarely occuring in practice.