Question

1. Limit order book

Below you can find order information received by the Exchange for stock ABC from 9am to 10am. Please construct the limit order book for these orders. The format of limit order book is provided below and feel free to insert more rows if needed. For the orders which can be executed or partially executed, please list the price executed and how many shares being executed. Please show the final limit order book and final market bid and ask price. (7 points)

Order number	order detail	received time
1	Limit sell order $475, 200 shares	9:05am
2	Limit buy order $425, 200 shares	9:08am
3	Limit buy order $445, 200 shares	9:15am
4	Limit sell order $450, 100 shares	9:20am
5	Limit buy order $430, 10 shares	9:21am
6	Market buy order, 100 shares	9:30am
7	Market sell order, 10 shares	9:40am
8	Limit sell order $445, 200 shares	9:42am
9	Limit buy order $428, 30 shares	9:44am
10	Limit buy order $420, 20 shares	9:50am
11	Limit buy order $420, 50 shares	9:59am

limit Buy Orders			limit Sell Orders
Order number	Size	Bid Price	Ask price	size	Order number

Answer 1

We arrange the order in decending price for buy order and for sell acending.

Order Number	Size	Bid Price	Ask Price	Size	Order Number
6	100	$        450	$        445	10	7
3	200	$        445	$        445	200	8
5	10	$        430	$        450	100	4
9	30	$        428	$        475	200	1
2	200	$        425
10	20	$        420
11	50	$        420

Here order execute as below

Till order 6 no bid rate and ask rate not match so any order not executed

When order 6 punch market order then before order 6 punch in system.

Order Number	Size	Bid Price	Ask Price	Size	Order Number
5	10	$        430	$        450	100	4
3	200	$        445	$        475	200	1
2	200	$        425

So oreder 6 punch for 100 qauntity market order so first lowest ask price excute means order 4 executed against order 6.

When order 7 punch market order then before order 7 punch in system.

Order Number	Size	Bid Price	Ask Price	Size	Order Number
3	200	$        445	$        475	200	1
5	10	$        430
2	200	$        425

Order 6 and 4 are executed so not active in system.

Now when enter order 7 for qauntity 10 at market rate so highest bid price executed so order 7 fully executed and order 3 for buy partially executed.

When order 8 punch market order then before order 8 punch in system.

Order Number	Size	Bid Price	Ask Price	Size	Order Number
3	190	$        445	$        475	200	1
5	10	$        430
2	200	$        425

Order 3 partially executed so remaining qauntity is 190

so when order 8 punch for sell then for 190 qauntity bid price match so order 8 partially executed.

After that no order match bid rate and ask rate so no order executed.

so remaining order at 10am

Order Number	Size	Bid Price	Ask Price	Size	Order Number
5	10	$        430	$        445	10	8
9	30	$        428	$        475	200	1
2	200	$        425
10	20	$        420
11	50	$        420

Order Fully executed

Order Number	Size	Bid Executed Price
6	100	$                   450
3	200	$                   445
Ask Execauted Price	Size	Order Number
$                   445	10	7
$                   450	100	4

Order partially executed

Ask Executed Price	Size	Order Number
$                   445	190	8