Glossary · L

What is Lee-Ready algorithm?

A method from 1991 for classifying trades as buyer- or seller-initiated when the aggressor side is not reported: compare the trade with the bid–ask midpoint, and use the tick rule for trades exactly at the midpoint.

In context

Lee-Ready algorithm — A method from 1991 for classifying trades as buyer- or seller-initiated when the aggressor side is not reported: compare the trade with the bid–ask midpoint, and use the tick rule for trades exactly at the midpoint. [Ch 3]

From Reference: Glossary, Pre-Session Checklist, GC→XAUUSD Conversion and Contract Cheat Sheet

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Chapter 3: Volume and Delta

Related terms

Aggressor Tick rule Tick Ask (offer)Bid

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Education only. Not financial advice. Trading involves substantial risk of loss.