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Forums > Information Products - Datafeeds > Liquidity Replenishment Points (LRP)
Subject: LRP and quote conditions E, F, and U

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Ramabhadran
Posts:2
03/26/2008 1:18 PM Quote Reply Alert 
Under what conditions/situations will the quote condition be E, F or U when the LRP is triggered? I have been looking at some TAQ data and the quote condition is U (TAQ mode 22) even when the LRP is hit only on one side of the quote. Why does this happen? Isn't U attached to the LRP being triggered on both sides of the quote?

Thanks in advance for the help.
Ariel
Posts:163
04/14/2008 5:18 PM Quote Reply Alert 
E, F, or U are triggered when an LRP is triggered or if there is a Gap Quote. E - Slow due to an LRP or Gap Quote on the Bid, F - Slow due to an LRP or Gap Quote on the Ask, and U - Slow due to an LRP or Gap Quote on Both sides. It is possible to have a U condition if the opposite side of market is hit while a slow market is in effect for a max of 5 seconds. For example if an E condition is sent, and then someone sweeps to book to buy up to the ask price at the LRP it would trigger a U since both sides of the market hit the LRP.
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Forums > Information Products - Datafeeds > Liquidity Replenishment Points (LRP) > LRP and quote conditions E, F, and U
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