关于Effective Spreads用什么价格计算

问题如下：

Bloomfield tells Riley that he noticed trades of 500 shares of BYYP stock were executed every 20 minutes for an hour. Bloomfield saw the same pattern of trading in the stock during the previous trading day. He instructs Riley to submit an order to purchase BYYP shares on the assumption that a trader seeks liquidity and is executing a large buy order by breaking it into pieces. The prices of these trades and the best bids and offers in the market when the BYYP trades occurred are presented in Exhibit 1.

Based on Exhibit 1, the average effective spread of the BYYP trades is closest to:

选项：

A.

$0.018.

B.

$0.035.

C.

$0.070.

解释：

B is correct.

The effective spread is calculated as follows:

Effective spread = 2 × (Trade price - Midpoint of market at time of order entry)
Effective spread of Trade 1 = 2 × ( $41.50 - $41.475) =$0.05
Effective spread of Trade 2 = 2 × ( $41.75 - $41.74) = $0.02
Average Effective Spread = ( $0.05 + $0.02) / 2 = $0.035