Tag: bid-ask-spread
Interview Questions
- Break-even spread on a two-point value
- Adverse selection when the prior is not 50/50
- Back out the informed fraction from the spread
- How informed flow sets the spread
- How much toxic flow can your spread survive?
- Building the true best market from many venues
- A six-cent signal in a ten-cent market
- How wide a spread can your edge afford?
- What does it cost to cross the spread?
- What you pay for wanting it now
- Sizing a market maker's daily take
- What does it mean to "earn the spread"?
- How maker rebates change your real edge
- Why the spread you pay beats the spread you see
- Is this quote actually making money?
- Where is fair value in a two-way market?
- The break-even spread when some traders know the answer
- In the interview game, how tight should you quote?
- Optimal spread when fill rate falls off linearly
- Optimal spread with a bell-shaped fill curve
- How a maker rebate changes your optimal spread
- Optimal spread under power-law flow
- How wide should you quote to maximize profit?
- What a bigger tick does to a market maker's economics
- Quoting when one fill in three runs you over
- Why big orders deserve a wider quote
- The hedge that eats your spread
- Every cost that a spread has to pay for
- Read the spread in ticks, then in dollars
- Why is a small-cap's spread permanently wide?
- Why do spreads widen right before scheduled news?
- Quoting to a target percentage margin
- Where competition stops compressing the spread
- Why do spreads widen right before an earnings release?
- Why does a market maker skew quotes when inventory builds up?
- Why are small-cap spreads so much wider than large-cap spreads?
- Why do wholesalers pay for retail order flow?
- What does the bid-ask spread compensate a market maker for?
- Why do spreads widen right before an earnings release?
- Why are small-cap spreads wider than large-cap spreads?
- Why do spreads blow out during a fast market?
- Why does a big order get a worse price than a small one?
- Why are spreads wide at the open?
- Build your spread from the ground up
- Why uncertainty about fair value belongs in your spread
- The two-sided quote that loses on every fill