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11 · Reading the book

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Markets, lesson 11

Reading the book

More size on one side hints at the next small move.

You can centre quotes on fair value and lean them for inventory. So far fair value has been a guess, or the mid, halfway between the best bid and the best ask.

Part 1. Call the next tick

The book below shows how many lots wait at the best bid and the best ask. Orders arrive at random. Call which side empties first.

Call the next tickLive

Part 2. Size is a hint

Keep going with Pro

You've done the first part. Pro opens the rest of this lesson, and every other one.

Still to come
  1. Size is a hint
  2. A middle that leans
  3. A hint, not a promise
  4. A worked problem
  5. The same thing, for real
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Next lessonQueue position and feesYour place in line and the fee schedule decide which fills pay. Start lesson 12

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Adapted from the Quant Finance Lectures (CC BY 4.0).