Quote Revision Rate is a metric quantifying the frequency at which a market maker or liquidity provider adjusts their bid or ask prices within a Request for Quote (RFQ) system or an order book. This reflects dynamic market conditions or internal inventory adjustments.
Mechanism
This rate is derived by observing the number of times a quoting entity changes its price within a specific time interval, relative to the total number of quotes or a baseline frequency. A higher rate indicates more reactive or volatile quoting behavior.
Methodology
Analyzing the quote revision rate assists traders in assessing the responsiveness and potential reliability of liquidity providers. It also aids in optimizing execution strategies by identifying periods of high quote instability or providers who frequently reprice, influencing trade routing decisions.
Quantifying quote latency, revision rates, and effective spread isolates quote unreliability's direct impact on execution slippage, enhancing capital efficiency.
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