medium · Market Microstructure lob
If an exchange uses a Pro-Rata matching engine and there are three resting limit orders at the best bid: Order A (1,000 shares), Order B (2,000 shares), and Order C (2,000 shares).
How many shares of an incoming market sell order for 1,500 shares will be allocated to Order A?
- 1,000 shares
- 750 shares
- 300 shares
- 500 shares
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