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Medium · Market Microstructure · Quant Trader interview question · implementation-shortfall, market-microstructure, trading-costs
You are tasked with executing an order to buy 10,000 shares of XYZ stock. Your benchmark arrival price is 50 dollars per share. You execute the order in three trades: Trade 1: Buy 3,000 shares at 50.10 dollars Trade 2: Buy 3,000 shares at 50.20 dollars Trade 3: Buy 4,000 shares at 50.30 dollars During your execution, the stock price rises, and you observe that if you had executed the entire order at the end, you could have bought all 10,000 shares at an average price of 50.25 dollars. C