easy · Quantitative Finance microstructure-arb
A buy order for 1,000 shares fills 500 shares at 100.00 and 500 shares at 100.20. The arrival benchmark is $100.00. Ignore fees.
What are the volume-weighted average fill price and total price slippage versus arrival?
- 100.00 and 0
- 100.10 and 100
- 100.20 and 100
- 100.10 and 200
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