medium · Order Flow Analysis order-book-dom
The E-mini S&P 500 (ES) is quoted at 4510.00 bid / 4510.25 offer with a tick size δ = 0.25. A trader submits a market buy order for 250 contracts. The book shows 200 resting offers at 4510.25 and 310 at 4510.50.
What is the volume-weighted average fill price barP_fill for this order?
- 4510.50
- 4510.375
- 4510.25
- 4510.30
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