问题如下图:
选项:
A.
B.
C.
解释:
老师这个题目只是buy,计算effective spread是不是可以理解为都要按照round trip来计算?谢谢
NO.PZ201512181000007304 老师 想确认一下公式 effective sprea计算公式,答案里面,是2*(tra price-(biprice+ask price)/2)。老师上课说的是2*(tra price-miquote) 而miquote=(insi ask+insi bi/2。 insi ask和insi bi是指的best ask和best bi所以我有点疑问,这里到底应该是用best ask/bi还是直接用ask/biprice就可以? 如果是best ask/bi 这道题应该只有一个best ask/bi而不是答案解析里面用每一次的ask/bi 请老师帮忙确认一下这个公式到底是怎么计算呢?谢谢!
NO.PZ201512181000007304 老师好 这题是sell position,为什么不是算出来是负的, 是用sum of three (miquote pri- tra price)*2 , 再求average 对吗,这里的miquote prices 都小于tra prices. 谢谢。
$0.0367. $0.0400. C is correct. The effective biask sprefor buy orrs is calculateas: Effective biask spre(buy orr) = 2 × {Tra pri– [(Ask pri+Biprice) / 2)]} or = 2 × (Tra pri– Mioint of the market the time orr is entere. So, the effective biask sprea for the three buy tras are calculateas: Effective spreof Tra 1 = 2 × {$25.20 – [($25.20 + $25.17)/2]} = $0.0300. Effective spreof Tra 2 = 2 × {$25.22 – [($25.22 + 25.19)/2]} = $0.0300. Effective spreof Tra 3 = 2 × {$25.27 – [($25.26 + $25.22)/2]} = $0.0600. The resulting average effective spreis then calculateas: Average effective spre= (Effective spreof Tra 1 + Effective spreof Tra 2 + Effective spreof Tra 3)/3. Average effective spre= ($0.0300 + $0.0300 + $0.0600)/3 = $0.0400. 请问Effective spreof Tra 3 = 2 × {$25.27 – [($25.26 + $25.22)/2]} = $0.0600,为什么不是Effective spreof Tra 3 = 2 × {$25.26 – [($25.26 + $25.22)/2]} = $0.04
$0.0367. $0.0400. C is correct. The effective biask sprefor buy orrs is calculateas: Effective biask spre(buy orr) = 2 × {Tra pri– [(Ask pri+Biprice) / 2)]} or = 2 × (Tra pri– Mioint of the market the time orr is entere. So, the effective biask sprea for the three buy tras are calculateas: Effective spreof Tra 1 = 2 × {$25.20 – [($25.20 + $25.17)/2]} = $0.0300. Effective spreof Tra 2 = 2 × {$25.22 – [($25.22 + 25.19)/2]} = $0.0300. Effective spreof Tra 3 = 2 × {$25.27 – [($25.26 + $25.22)/2]} = $0.0600. The resulting average effective spreis then calculateas: Average effective spre= (Effective spreof Tra 1 + Effective spreof Tra 2 + Effective spreof Tra 3)/3. Average effective spre= ($0.0300 + $0.0300 + $0.0600)/3 = $0.0400. 请问在计算effective sprea不用考虑交易的交易量来进行加权计算吗?