A market order sweeps three levels, now what?
A single large market sell order arrives and executes against the book, fully consuming the best three bid levels before it is filled.
What happens to the mid-price? By how many ticks can one order move it, and is this genuine price discovery or a temporary dislocation?
Show a hint
The mid depends only on the best quotes. If the top bid levels vanish, what is the new best bid?
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.