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404 not found · 2024年05月21日

如果是all or nothing order会怎样执行？

  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：

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

如果买方仍然是300share@21.89, 400share@21.02，现在investor下了一个500share@20.87的all or nothing buy order。那么订单会在21.89执行300+在21.02执行200；还是会因为在21.89的买单不够500share，而导致无效无法成交？

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王园圆_品职助教 · 2024年05月21日

同学你好，既然投资者的单是不低于20.87，那 21.02依然是满足投资者要求的

所以会在21.89执行300，在21.02执行200

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