price improvement的问题

嗨，努力学习的PZer你好：

同学你好，这里面有两个概念，一个是spread 一个是effective spread，原版书有相关表述：

The bid–ask spread is the difference between the bid and the ask prices. The
effective spread is two times the difference between the trade price and the
midquote price before the trade occurred.

bid-ask spread是买卖价差，可以反映市场的流动性。而effective spread是真正反映一个交易员执行指令时其真正承担的隐形交易成本，从公式上看，只有effective spread计算时才考虑了执行价格。

-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！