medium · Market Microstructure
A buyer purchases 1,000 shares at $30.08 when the NBBO midpoint is $30.06. Five minutes later, the midpoint has risen to $30.12.
What is the realized spread on this trade, and what does it indicate about the dealer's profit?
- $0.04; the dealer earned a profit from the effective spread.
- -$0.04; the dealer broke even on an inventory basis.
- $0.08; the dealer gained from the market trend.
- -$0.08; the dealer lost money due to adverse selection.
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