WOM question

[sa7med]

Do WOM calculations count 0 if there is a gap along the 3 best prices? Or does it simply count 3 best available volumes on each side?

[Euler]

Three on each side, any gap usually gets filled now due to XM

[LeTiss]

Three on each side, any gap usually gets filled now due to XM

Yes and that's a great shame. Filling gaps was a great way of getting matched, and contributed greatly to the exchange ecosystem and market integrity. XM has muddied the waters terribly, it feels as though there are often dark forces at work

[ShaunWhite]

any gap usually gets filled now due to XM

I think OP's question was would BA use the £0 at 2.34 or the £290 at 2.36 in it's WoM calc for a market like this?

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[Dallas]

Three on each side with volume

[sa7med]

K, thought so but wanted to make sure. Thanks all.