hard · Market Microstructure spread-econ
A limit order book for a stock currently shows a best bid of 50.00 (size 1,000) and a best ask of50.04 (size 500). A marketable buy order for 1,200 shares arrives. The next level of the ask side is $50.06 for 1,000 shares. Calculate the effective spread paid by the buyer of the 1,200-share block.
- $0.0517
- $0.0633
- $0.0400
- $0.0200
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