medium · Order Flow Analysis order-book-dom
An E-mini S&P 500 (ES) book shows 450 contracts resting at the best bid of 4510.00 and 200 contracts at the best offer of 4510.25. A trader submits a market buy order for 250 contracts.
If the next offer level is 4510.50 with 310 contracts, what is the volume-weighted average fill price (barP_fill) for the order?
- 4510.50
- 4510.375
- 4510.30
- 4510.25
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