Question
Question 10 (13 marks) Refer to the below limit order book for the stock QQL. 100 6.40 6.80 300 Time Trader Size Price Price Size
Question 10 (13 marks)
Refer to the below limit order book for the stock QQL.
|
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| 100 | 6.40 | 6.80 | 300 |
|
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| Time | Trader | Size | Price | Price | Size | Trader | Time |
| 09:55 | HSU | 100 | 6.40 | 6.80 | 300 | CTI | 09:15 |
| 10:11 | HKB | 300 | 6.20 | 6.95 | 1000 | WHB | 09:30 |
| 09:45 | BEA | 550 | 6.00 | 7.05 | 100 | CCB | 10:00 |
d.) Suppose the following trades or orders occur from 10:12
| No.# | Time | Trades or oders |
| 1 | 10:35 | A market order to sell 300 shares |
| 2 | 10:40 | A market order to buy 200 shares |
| 3 | 10:57 | A limit order to sell 1000 shares at$6.85 |
| 4 | 11:00 | A limit order to sell 500 shares at $6.70 which was taken(done) immediately at 11:01 |
| 5 | 11:02 | A market sell order of 500 shares arrives |
i) (3 marks) Calculate the volume weighted average price (VWAP) of QQL from 10:35 to 11:02.
ii) (3 marks) Which one of the transactions above (No.#) beat the VWAP (for the trader who placed the order)?
Can anyone help me solve the (d)(i)-(ii)?
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Construction accounting and financial management
Authors: Steven j. Peterson
2nd Edition
978-0135017111
