Consider the following limit order book: Ask Share Price 1900 34.56 1700 34.54 1200 34.53 400 34.52 | 300 34.51 Bid 1000 34.49 1100 34.48 1400 34.47 1500 2200 34.46 34.45 Bid-ask spread. What is the posted bid-ask spread in cents and basis points of the mid price? If you buy 100 shares with a market order and immediately (i.e., before any new orders arrive or any existing orders are cancelled) sell them with a market order, then what is your P&L? Limit order. A limit order to buy 150 shares at $34.50 arrives in the market. What happens? I.e., which transactions occur and what is the resulting bid-ask spread in cents? (In the rest of the exercise, assume that this order is subsequently cancelled.) Walking the book. A limit buy order for 2000 shares at $34.53 arrives. Document all transactions, compute the volume-weighted average execution price of the transaction, and determine the bid- ask spread after the transaction(s). Consider the following limit order book: Ask Share Price 1900 34.56 1700 34.54 1200 34.53 400 34.52 | 300 34.51 Bid 1000 34.49 1100 34.48 1400 34.47 1500 2200 34.46 34.45 Bid-ask spread. What is the posted bid-ask spread in cents and basis points of the mid price? If you buy 100 shares with a market order and immediately (i.e., before any new orders arrive or any existing orders are cancelled) sell them with a market order, then what is your P&L? Limit order. A limit order to buy 150 shares at $34.50 arrives in the market. What happens? I.e., which transactions occur and what is the resulting bid-ask spread in cents? (In the rest of the exercise, assume that this order is subsequently cancelled.) Walking the book. A limit buy order for 2000 shares at $34.53 arrives. Document all transactions, compute the volume-weighted average execution price of the transaction, and determine the bid- ask spread after the transaction(s)