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Question 9 (12 points) The following are quotes in YYQ: Shares Price Time Asks 6,700 268.22 15:34:24 7,107 268.21 15:34:24 3,200 268.20 15:34:17 1,900
Question 9 (12 points) The following are quotes in YYQ: Shares Price Time Asks 6,700 268.22 15:34:24 7,107 268.21 15:34:24 3,200 268.20 15:34:17 1,900 268.19 15:34:14 83 268.18 15:34:13 Bids 5,800 268.17 15:34:13 5,400 268.16 15:34:13 7,500 268.15 15:34:12 7,900 268.14 15:34:12 6,600 268.13 15:34:12 David T. submitted a market order to buy 20 shares of YYQ through his zero-commission broker. His order was executed at 15:34:17 at a price of 268.195. 1) Calculate his implementation shortfall on a per share basis relative to the NBBO midpoint at 15:34:17. 2) Calculate his price improvement per share.
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