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treepple · 2019年11月06日

问一道题:NO.PZ2015122802000035

问题如下:

A market has the following limit orders standing on its book for a particular stock:

Ian submits a day order to sell 1,000 shares, limit £19.83. Assuming that no more buy orders are submitted on that day after Ian submits his order, what would be Ian’s average trade price?

选项:

A.

£19.70.

B.

£19.92.

C.

£20.05.

解释:

B  is correct.

Ian’s average trade price is:

19.92=300×20.02+400×19.89+200×19.84300+400+20019.92=\frac{300\times20.02+400\times19.89+200\times19.84}{300+400+200}

Ian’s sell order first fills with the most aggressively priced buy order, which is Mary’s order for 300 shares at £20.02. Ian still has 700 shares for sale. The next most aggressively priced buy order is Ann’s order for 400 shares at £19.89. This order is filled. Ian still has 300 shares for sale. The next most aggressively priced buy order is Paul’s order for 200 shares at £19.84. A third trade takes place. Ian still has 100 shares for sale. The next buy order is Keith’s order for 1,000 shares at £19.70. However, this price is below Ian’s limit price of £19.83. Therefore, no more trade is possible.

请问一下这道题里面的limit price是指的不低于吗?那如果说正好等于19.83的限价的话,题目里面的表达应该是怎样?有点迷糊什么时候是最低限价,什么时候是最高限价,以及指定交易价格的英文表达,谢谢。

1 个答案

maggie_品职助教 · 2019年11月07日

1、对于买方来说limit price指的是不得高于某个价格买入。而对于卖方来说limit price指的是不得低于某一个价格卖出。

2、题干说Ian submits a day order to sell 1,000 shares, limit 19.83. 这是从卖方出发,因此它意思是L同学希望以不低于19.83的价格卖出1000股。

3、那我们就看一下市场的买方,除了19.70以外,前三个报价都高于19.83,那么从最高的买价开始执行直到1000股全部满足。

4、这里你可以简单来想:比如你想以不低于5元卖10根笔,现在A出价100元买5根,B愿意以10元买5根, C愿意以5元买5根笔,你肯定优先卖给A对吗,然后剩下的卖给B。所以你的平均卖价为(100*5+10*5)/10。