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?

  1. 100.00 and 0
  2. 100.10 and 100
  3. 100.20 and 100
  4. 100.10 and 200

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