Assume that the market has 2 venues, Market No.1 and No. 2, and the states of 2 order books in Market No.1 and No. 2 for Company ABC is as follows:

OrderBookMarketNo.1

Exchange A: Company ABC Time:12:00:00
Buy Orders		Sell Orders
Volume	Limit()	Limit()	Volume
20	15.05	15.15	50
100	15.00	15.20	100
30	14.85	15.45	200
400	14.60	15.55	350

OrderBookMarketNo.2

Exchange B: Company ABC Time:12:00:00
Buy Orders		Sell Orders
Volume	Limit()	Limit()	Volume
75	15.05	15.25	40
300	14.95	15.30	50
425	14.85	15.35	250
350	14.70	15.50	1,000

1. Compare the two markets using different liquidity measures, assuming you would like to sell 300 shares of stock ABC. Provide formulas for the measures that you use. Provide the results in basis points and round the answers to three decimal places. Where would you prefer to execute a sell order of 300 shares? Briefly explain your answer. (4marks)
2. 5 minutes after the execution of a market order to sell 300 shares on Market No.1, the order book for Market No.1 is as depicted below and remains the same for 10 minutes. Calculate (to three decimal places) the 5 minutes Realized Spread and the orders Price Impact for Market No. 1 in basis points. Define and briefly explain the meaning of both the terms Realized Spread and Price Impact and interpret your results.

OrderBookNo.1-B

Exchange A: Stock ABC Time:12:05:00
Buy Orders		Sell Orders
Volume	Limit()	Limit()	Volume
20	14.65	15.05	50
300	14.60	15.15	50
		15.30	100
		15.55	250

(4 marks)

(Total 8marks)