medium · Market Microstructure lob
In an order-driven market, a large buy market order for 2,000 shares arrives. The limit order book shows 500 shares at 10.10, 500 shares at 10.15, and 2,000 shares at $10.20.
What is the average price the buyer will pay?
- $10.10
- $10.20
- $10.1625
- $10.15
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