medium · Market Microstructure lob
A broker uses a 'pro-rata' matching algorithm for an options contract. There are three resting sell orders at $2.50: Order A (size 100), Order B (size 200), and Order C (size 700).
If a market buy order for 400 contracts arrives, how many contracts are allocated to Order B?
- 200
- 80
- 133
- 0
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