medium · Market Microstructure
A stock is trading with a National Best Bid and Offer (NBBO) of 25.00 /25.10. An exchange matching engine receives the following limit sell orders at $25.10: Order A for 1,000 shares at 10:00:01, and Order B for 2,000 shares at 10:00:05.
If the exchange utilizes a pro-rata matching algorithm and a market buy order for 600 shares arrives, how many shares are allocated to Order A?
- 400 shares
- 200 shares
- 600 shares
- 300 shares
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