Order books
Read a book of bids and offers: what a market order costs, where the edge is, the profit after fills.
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How it works
A market order walks the book from the best price, one level at a time. With a fair value given, every offer below it is a profitable buy and every bid above it a profitable sell. Optiver reports 20 of these in 8 minutes.
A sample question
Asks: at , at . Bids: at , at . You sell lots at market. What do you receive in total?