Questions / Quant trading, Execution & microstructure
How far does the limit reach?
A fictional order book offers 100 shares at $10.00, 200 at $10.02, and 300 at $10.05. Nothing changes during matching. A 400-share buy order executes against the cheapest offers first, but never above its $10.04 limit. How many shares execute immediately?
Answer it in the app It's free. You get hints, a second try if you miss, and a follow-up question.
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Answer: 300 shares
- The first two levels are eligible, so 100 + 200 = 300 shares execute. The 100 shares still needed cannot trade at $10.05 because that price exceeds the limit.
Interview shortcut. Sweep levels up to the limit: 100 + 200.
In the app this has a follow-up where one thing about the setup changes. Try the follow-up.