medium · Market Microstructure lob
A matching engine uses pro-rata allocation for a specific futures contract. There are three resting limit sell orders at 95.50: Order A for 7,000 contracts, Order B for 2,000 contracts, and Order C for 1,000 contracts.
If a market buy order for 2,500 contracts arrives, how many contracts are allocated to Order B?
- 300
- 0
- 2,000
- 500
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