Balanced fills, yet the PnL bleeds
Asked at Flow Traders
You are making a two-sided market. Your fills are nicely balanced, buys and sells in roughly equal numbers, and your position drifts around near flat. On paper you are "collecting the spread," yet at the end of each day the PnL is slightly negative, day after day.
What is going wrong, and how do you fix it?
Show a hint
Balanced count is not balanced timing. Think about what tends to be true right after each of your fills.
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.