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Hard · Market Microstructure · Quant Trader interview question · market-microstructure, iceberg-order, order-book, trading-strategy
You are monitoring the Level 1 market data for a heavily traded stock. You observe that the Ask size consistently refreshes to 100 shares immediately after each trade that executes against the Ask. Assuming this behavior persists for a significant period, which of the following is the most likely explanation, and what is the optimal trading strategy to exploit this information? Consider transaction costs to be negligible in your strategy. The goal is to maximize profits based on the observed mar