Lee-Ready Trade Classification - Quant Trader Interview Question
Difficulty: Medium
Category: Market Microstructure
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Topics: market-microstructure, order-flow, trade-classification
Problem Description
The Lee-Ready algorithm is a widely used method for classifying trades as buyer-initiated or seller-initiated, providing insights into order flow and market dynamics. Understanding its core principle is crucial for interpreting trade data and assessing market sentiment.
What is the primary rule used by the Lee-Ready algorithm to classify a trade?
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