5. (30 points) The SEC rule 605 requires market centers to disclose monthly data about the quality of their trade executions. In your final exam package, there are five different reports compiled by five different market centers in April of 2020. A file "tibkr202004.dat" is by Interactive Brokers, a file "TCDRG202004.txt" is by Citadel Securities, a file "TUBSS202004.dat" is by UBS Securities, "TVIRTU202004.dat" is by Virtu Financials, and "V_202004.dat" is by IEX trading. Each file contains the quality of each institution's trade execution and data fields are separated by ''. You can open the files in excel or other programs by using the delimiter to recover the data. Each file is reported by single company except the report of Virtu Financials. The Virtu Financial reports the statistics of two companies (company codes: NITE and TVIRT) because two companies (Virtu Americas: NITE and Virtu Financial: TVIRT) have combined operations. (I also contains the file "IB202002 Reference.html" for your guidance. Once open this file, you are able to see familiar text which is shown in the class. The differ- ence between this file and other files is that first three columns in other files are not appeared in html file. Moreover, 'Size' and 'Type' in other files encoded as number.) For your data fields explanation, please refer to the SEC homepage: (A) For size category '500-1999' with marketable limit orders of stocks 'GOOG', 'IBM', and 'AMZN', compute the average price impact. Which market center provides the lowest price impact level? (B) For size category '100-499' with marketable limit orders of stocks 'GOOG', 'IBM', and 'AMZN', compute the implied bid-ask spread. Which market center provides the lowest transaction cost in terms of the implied bid-ask spread? (C) In general, large order sizes are followed by a large price impact. Compute the price impact of stocks 'IBM' and 'MSFT' for marketable limit orders. Note that price impact could be either negative or positive. Thus, you need to take absolute value to see the impact of order sizes on price impact. Are your statistics consistent with the above statements? https://www.sec.gov/interps/legal/slbim12b.htm Moreover, you need the following information In Field "F5" Order Type Code (A) 11 market orders (B) 12 marketable limit orders (C) 13 inside-the-quote limit orders (D) 14 at-the-quote limit orders (E) 15 near-the-quote limit orders In Field "F6" Order Size Code (A) 21 100-499 shares (B) 22 500-1999 shares (C) 23 2000-4999 shares (D) 24: 5000 or more shares Plase see the next page for quesions