hard · Market Microstructure
A wholesaler executes a retail market buy order for 500 shares of XYZ at $45.12 when the National Best Bid and Offer (NBBO) is $45.08 bid / $45.12 offer. Five minutes later, the quote midpoint is $45.15.
What is the realized spread on this trade, and what does it indicate about the dealer's outcome?
- $0.04
- -$0.06
- -$0.03
- $0.10
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