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Smile · 2023年08月17日

请问卖价为什么会比市场买高呢?

NO.PZ2022061307000013

问题如下:

Question A trader places a limit order to buy shares at a price of $49.94 with the stock trading at a market bid price of $49.49 and the bid–ask spread of 0.7%. The order will most likely be filled at:

选项:

A.$49.94. B.$49.84. C.$49.49.

解释:

Solution

B is correct. An order is filled at the best available price as long as this price is lower than the limit price. In this case, the best available price is the market ask price = $49.49 × (1 + 0.7%) = $49.84. Because this price is lower than the limit price of $49.94, the order will be filled at this price.

A is incorrect. The order limit of $49.94 is larger than the market ask price and accordingly the order will be filled at the market ask price (i.e., $49.84) and not the limit order price.

C is incorrect. The trader can only sell (not buy) at the market bid price. He has to buy at the market ask price.

市场上的bid也就是买价是49.49

0.7%的bid ask spread可以用来计算市场的卖价:49.49*1.007= 49.84

为什么这里不是*(1-0.7%)呢?

1 个答案

王园圆_品职助教 · 2023年08月17日

同学你好,bid ask spread是指market marker的报价,所以做市商为了使自己能够盈利,买价bid肯定报的比卖价ask要低,所以已知bid以及spread的时候,计算ask需要用bid*(1+spread)