Market Maker *Ask* below current *BID*
I am reviewing some marketmaker raw data and sometimes I see the following happening:
The marketmaker quotes an ask price that is below the current bid price (of let's say, the market itself).
How is that possible? What is happening?
An important characteristic of the quotes (ask) that are lower than the current bids, is that they are almost always at the same level. So even though the bid and ask are changing through time, these 'flawed' asks always remain on (approximately) the same price level.
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The primary purpose of the exchange is to execute asks against bids and to provide quotes of asks and bids
I suspect that what you're seeing is a divergence of the quoting system from the execution system in which the quote returned right before an execution making it appear as though there was a disparity. If the exchange did what every market participant depends on it to do, it executed the trade immediately after the quote was processed.
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