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Easy · Market Microstructure · Quant Trader interview question · market-order, order-book, execution-price
You are looking at the order book for a stock. The best bid is 100 dollars and the best ask is 100.01 dollars, but the available size at the best ask and the prices and sizes at deeper ask levels are not shown. You place a market buy order for 100 shares. What can you determine about the average execution price, assuming no other orders are executed before yours?