You keep getting lifted, what do you do?
Asked at IMC, Flow Traders
You're market making. You sell at your offer, raise your quotes, and get lifted again. And again, five times in a row, always the buy side, and you're now meaningfully short. The market data you can see looks unchanged.
What is happening, and what do you do?
Show a hint
What's the likelihood of five independent coin-flip customers all buying? What's the alternative explanation?
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.