easy · Market Microstructure lob
If a market uses Pro-Rata matching instead of FIFO, and there are three orders at the bid: O_A (2,000 shares), O_B (3,000 shares), and O_C (5,000 shares). A market sell order for 1,000 shares arrives.
How many shares are allocated to O_A?
- 333 shares
- 1,000 shares
- 0 shares
- 200 shares
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