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ABBO as the Best Quotes Available Away From an Exchange

Article Quant Q&A · Author: Palace Chan
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Summary

The document defines Away Best Bid and Offer (ABBO) in the context of exchange quotes. In the cited Turquoise description, ABBO aggregates the best bid and offer from specified external European order books. An external market contributes only while it is in continuous trading, and the venue identifies which external markets count for each security. If the relevant books have no orders or the markets are closed, ABBO is undefined. Its tick size may also be smaller than Turquoise’s own tick size.

A second explanation characterizes ABBO as quotes away from the primary market’s top level: the highest bid below it and the lowest ask above it. The accepted answer summarizes the concept as the best prices on other exchanges, distinguishing it from a consolidated national best quote. The precise scope depends on the venue’s rules and included markets, so ABBO should not be assumed to mean every exchange’s quote in every trading state.

Key ideas

  • ABBO represents best bid and offer prices from specified external order books.
  • External quotes count only when the relevant market is in continuous trading.
  • ABBO can be undefined when the relevant markets are closed or lack orders.
  • Which venues contribute to ABBO depends on the exchange’s rules and notices.

Tags

Market microstructureExecutionEquities
Full text
# What does ABBO (Away best bid and offer) refer to?


# What does ABBO (Away best bid and offer) refer to?












I know what the NBBO is but I've seen mention of ABBO and I'm not sure what it means?

## Answer by chrisaycock (score 3, accepted)

https://quant.stackexchange.com/a/3796

From the Turquoise features document:

> 6.3. Away Market Best Bid and Offer (ABBO) 6.3.1. The ABBO is defined as the Best Bid and Offer prices as represented by an aggregation of relevant European Order Books as defined by Turquoise. An external market’s Best Bid and Offer will only be part of the ABBO when that market is in Continuous Trading. Turquoise will advise for each security which external markets will be included in ABBO by a Market Notice and on the Turquoise Website. Turquoise will provide a reasonable period of notice prior to implementing any change. 6.3.2. If there are no orders in the relevant European Order Books as defined by Turquoise or if the markets are closed the ABBO is deemed to be undefined. 6.3.3. The ABBO can be set in smaller tick sizes than Turquoise tick size.

In other words, it's the best price from all other exchanges. Ie, NBBO minus this exchange.

## Answer by hroptatyr (score 1)

https://quant.stackexchange.com/a/3794

Well it's the best away from the market quote on the bid and ask side. Or put in terms of level 2 quotes, the highest bid below the top level and the lowest ask above the top level.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.