hard · Market Microstructure
A Smart Order Router (SOR) receives a market order to sell 1,000 shares. The consolidated book shows: NYSE Bid 49.99 (Size 200), NASDAQ Bid 49.99 (Size 500), and EDGX Bid 49.98 (Size 1,000). All venues charge a taker fee of 0.003 per share.
If the National Best Offer (NBO) is 50.01, what is the implementation shortfall of this execution relative to the decision-time midpoint?
- $8.00
- $13.00
- $20.00
- $16.00
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