You keep getting hit on the bid
Asked at Optiver
You are making a market. You buy at your bid, lower your quotes, and get hit again. And again, six times in a row, always the sell side, and you are now meaningfully long. Glancing at a correlated product, you notice it has quietly ticked down while your own screen looks roughly unchanged.
What is happening, and what do you do?
Show a hint
Six one-sided fills is unlikely from random noise. And you just spotted a signal you had not priced in.
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.