medium · Order Flow Analysis order-book-dom
A market buy order for 250 contracts is submitted in the ES. The Limit Order Book (LOB) shows 200 contracts resting at 4510.25 and 310 contracts resting at 4510.50.
What is the volume-weighted average fill price (P_fill)?
- 4510.30
- 4510.50
- 4510.375
- 4510.25
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