Autoquote

Autoquote

Autoquote indicative prices are generated for many of the financial options contracts traded at LIFFE using standard mathematical models as derived by Black and Scholes and Cox, Ross, Rubinstein. Autoquote calculates prices for all series by processing variables captured in real-time from other systems and trading members each time the underlying price changes. Autoquotes indicate where a series may trade, given the current level of the underlying instrument.
References in periodicals archive ?
Based on industry standard FIX and Thomson Reuters RFA interfaces, Thomson Reuters Matching API (MAPI) will replace AutoQuote and deliver greater capacity and lower latency for users.
In order to address the concern of autoquotes (passive quotes posted by market dealers) raised by Chordia, Roll, and Subrahmanyam (2001), we retain only the National Best Bids and Offers (NBBO) quotes posted during a normal trading environment.