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🌊Yuri🌊 · 2023年03月02日

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  1. CFA I
  2. Equity

NO.PZ2018062002000035

问题如下：

The following limit order standing in the stock’s order book:

Suppose Carl submitted a day order with a limit price of $ 20.87 and sold 1,000 shares, and no more investor submits a buy order after he submitted the order. What is the average price for Carl’s transaction？

选项：

A.

$21.70.

B.

$21.28.

C.

$21.05.

解释：

Carl’s average trade price is:

21.28=300×21.89+400×21.02+200×20.88300+400+20021.28=\frac{300\times21.89+400\times21.02+200\times20.88}{300+400+200}

Carl's order will be filled with the most aggressively priced buy order firstly, which is Fiona’s order for 300 shares at $21.89. Carl still remaining 700 shares did not sell. Philip’s order for 400 shares at $21.02 is the second aggressively priced buy order, after the order was filled Carl still have 300 shares to sell. Debbie’s order for 200 shares at $20.88 is the third aggressively priced buy order, he still has 100 shares to sell after the third order takes place. Liam’s order for 1,000 shares at $20.70 is the next buy order, but the price of this order is lower than Carl's required limit price, therefore, no more transactions can be carried out.

考点：Instructions Of Transaction Processes

这道题表格中给了市场上买方和卖方愿意出的价格和需求量，问如果C同学想要以不低于20.87的价格卖出1000股，那么它的平均成交价格是多少。这道题是从卖股票的角度考虑，那么你就要看看当前市场上有多少人想买，只有买价大于20.87的部分才能成交，从表格可以看出只有Debbie\Philips\Fiona出的买价高于20.87，因此C同学只能卖出900股。那么总共卖出的交易价格就等于：

\(21.28=\frac{300\times21.89+400\times21.02+200\times20.88}{300+400+200}\)

这里面说c同学是想卖，那别人就是想买。为什么不是用ask价啊？不是dealer想卖吗？

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1 个答案

王园圆_品职助教 · 2023年03月02日

嗨，爱思考的PZer你好：


同学你好，bid ask这个报价系统是站在dealer角度说的。

即bid是dealer的买入价，ask是dealer的卖出价——因为dealer是需要有的赚的，所以bid价比较低，ask价比较高，他们天然的就带有一个spread方便dealer赚钱

而Carl是投资者，对于Carl来说，就是要找dealer的买入价bid价。他想要卖出1000股的时候，我们先要去看市场上已有的这些买价中有没有能满足他要求的——也就是表格中价格比较低的20.7到21.89美金的部分


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努力的时光都是限量版，加油！

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