蔡同学2022-08-07 13:45:48
蔡同学为何shares sold at a price above the bid price，则effective spread is less than quoted spread？反之则大于？effective spread基于真实价格计算的spread=ask卖价-bid买价，而quoted spread是market spread为best ask最优卖价-best bid最优买价
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Essie2022-08-08 16:52:46
Essie你好，effective spread for a sell order is 2 × (Midpoint of the market at the time of order entry − Trade price)，quoted spread = best ask - best bid。假设bid-ask spread为8.0-8.8，sell price为8.3，此时quoted spread为0.8；effective spread = (8.4-8.3)*2=0.2. 所以effective spread is less than quoted spread，反之则大于。
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