AdvancedNumeric answer
Reading the top of the book · Part 3 of 4
A stock’s best bid is 100.00 for 900 shares and its best offer is 100.02 for 100 shares. The tick size is 0.01.
What is the size-weighted microprice, , to three decimal places?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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Market-data cases: short-horizon prediction from the order book
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