Realized Spread at Midpoint - Quant Trader Interview Question
Difficulty: Medium
Category: Market Microstructure
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: realized-spread, quoted-spread, market-making, microstructure
Problem Description
A market maker quotes a stock with a bid price of 9.99 dollars and an ask price of 10.01 dollars. A customer order executes at the midpoint of the quoted spread. What is the market maker's realized spread for this trade?
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