hard · Market Microstructure lob
During a call auction, the following orders are received: Buy 500 at Market; Buy 1,000 at $10.10; Buy 1,500 at $10.00; Sell 800 at Market; Sell 1,200 at $10.00; Sell 1,000 at $10.10.
What is the clearing price that maximizes the traded volume?
- $10.10
- $10.05
- $9.90
- $10.00
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