Practice Trading
Measure trading costs from trades and quotes
Easy+10 pointsAbout 30 minutesTrading
Coming soon
Compute quoted, effective and realised spreads for a day of trades, and explain what each one measures.
This problem opens with Market Microstructure and Algorithmic Trading. It draws on the modules below.
- Microstructure 1.3 Price formation (coming soon)
- Microstructure 1.4 Price impact and liquidity (coming soon)