medium · Market Microstructure lob
A matching engine uses a pro-rata allocation rule. There are three limit orders resting at the best bid of $25.00: Order A for 1,000 shares, Order B for 600 shares, and Order C for 400 shares. A market sell order for 500 shares arrives.
How many shares are allocated to Order B?
- 0 shares
- 166 shares
- 500 shares
- 150 shares
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