easy · Market Microstructure
Suppose a stock has an NBBO of $10.00 × $10.10. A call auction is conducted, and the exchange receives a buy market order for 200 shares and a buy limit order for 300 shares at $10.10. It also has a sell limit order for 400 shares at $9.90 and a sell market order for 100 shares.
What is the clearing price that maximizes volume?
- $10.10
- $10.05
- $9.90
- $10.00
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