hard · Order Flow Analysis
The E-mini S&P 500 (ES) is currently quoted at 4510.00 bid / 4510.25 offer. A trader submits a market buy order for 250 contracts. The limit order book shows 200 contracts resting at 4510.25 and 310 contracts resting at 4510.50.
What is the volume-weighted average fill price (barP_fill) for this execution?
- 4510.25
- 4510.375
- 4510.30
- 4510.50
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