Tag: microstructure
Concepts
Interview Questions
- Market order vs marketable limit order, the price you cannot see coming
- Why does a stock have a bid-ask spread at all?
- A stop order is not a limit order
- How wide should a market maker quote?
- Market orders vs limit orders, when do you use each?
- A thin bid, a fat ask, where is fair value?
- Microprice with a two-cent tick
- Back out the imbalance from a microprice
- When the microprice equals the mid, and when it swings
- The microprice, when the mid lies
- Why is a small-cap's spread permanently wide?
- Why a market maker skews quotes when holding inventory
- Quoting options vol into a binary drug-approval event
- Why retail flow is cheap and institutional flow is toxic
- Why do spreads widen right before scheduled news?
- What makes the bid-ask spread widen or tighten?
- A market order sweeps three levels, now what?
- Every way the best bid can change
- Mid, last trade, or microprice, which is fair value?
- What actually moves the mid-price?
- Why do spreads widen right before an earnings release?
- Why are small-cap spreads wider than large-cap spreads?
- Why do spreads blow out during a fast market?
- Why does a big order get a worse price than a small one?
- Why are spreads wide at the open?