hard · Market Microstructure
A trader is analyzing a series of trades for MSFT. A trade occurs at $400.02 when the NBBO is $400.00 × $400.04. The previous trade was $400.03.
According to the Lee-Ready algorithm, how is this trade classified?
- The trade is classified as buyer-initiated based on the quote rule.
- The trade is classified as buyer-initiated because it is closer to the ask than the bid.
- The trade is classified as seller-initiated based on the tick test.
- The trade is unclassifiable because it occurred at the midpoint.
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