Tag: order-book
Interview Questions
- Merge two price ladders, summing size on equal prices
- Design a limit order book / matching engine
- Walking up the book with size
- 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
- Walking the book on the sell side
- How many shares can you buy under an average-price cap?
- One big clip or two small ones?
- A limit order that only partly fills
- Walking the book, what does a big market order really pay?
- 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?