3 The following are quotes in YYQ: Asks Bids Shares 6,700 7,107 3,200 1,900 83 5,800...

 

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3 The following are quotes in YYQ: Asks Bids Shares 6,700 7,107 3,200 1,900 83 5,800 5,400 7,500 7,900 6,600 Price 268.22 268.21 268.20 268.19 268.18 268.17 268.16 268.15 268.14 268.13 Time 15:34:24 15:34:24 15:34:17 15:34:14 15:34:13 15:34:13 15:34:13 15:34:12 15:34:12 15:34:12 David T. submitted a market order to buy 20 shares of YYQ through his zero-commission broker. His order was executed at 15:34:17 at a price of 268.195. 1) Calculate his implementation shortfall on a per share basis relative to the NBBO midpoint at 15:34:17. 2) Calculate his price improvement per share. 3 The following are quotes in YYQ: Asks Bids Shares 6,700 7,107 3,200 1,900 83 5,800 5,400 7,500 7,900 6,600 Price 268.22 268.21 268.20 268.19 268.18 268.17 268.16 268.15 268.14 268.13 Time 15:34:24 15:34:24 15:34:17 15:34:14 15:34:13 15:34:13 15:34:13 15:34:12 15:34:12 15:34:12 David T. submitted a market order to buy 20 shares of YYQ through his zero-commission broker. His order was executed at 15:34:17 at a price of 268.195. 1) Calculate his implementation shortfall on a per share basis relative to the NBBO midpoint at 15:34:17. 2) Calculate his price improvement per share.

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