Why Exchange Arbitrage Contract Quotes Can Be Zero
Summary
The discussion explains why an exchange-listed arbitrage contract can show a zero best bid or ask. A forum user reports seeing zero prices while collecting top-of-book quotes. A reply says those quotes appear when traders submit orders directly in the arbitrage contract; they are not automatically calculated from the order books of its two component legs.
This distinction matters when interpreting market data: a zero quote may reflect the absence of orders in the spread instrument, rather than a computed spread price or a data-feed error. The exchange’s arbitrage contract book should therefore be treated as its own order book. The post offers no exchange-specific details, examples, or validation steps, so it does not establish how all venues represent empty books or how to derive executable spread prices from the component legs.
Key ideas
- An arbitrage contract can have its own order book, separate from the books for its component legs.
- Its bid and ask may be populated only when traders place orders in that contract.
- A zero quote does not necessarily mean the spread was calculated from the leg prices.
- The post gives a general explanation but does not document exchange-specific behavior.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.