medium · Market Microstructure
A trader executes a market buy order for 1,000 shares of XYZ at 49.55. At the time of execution, the NBBO is 49.48 bid / 49.52 ask. Five minutes later, the midpoint has shifted to 49.53.
What is the realized half-spread on this transaction?
- 0.05
- 0.04
- 0.02
- 0.03
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