5471金融与交易中等数值题short

Two-Sided Quote EV 1

题目

You quote both sides for size 150. Bid-fill probability is 0.22 and ask-fill probability is 0.3. Bid half-spread is 0.016, ask half-spread is 0.02, rebate is 0.001, bid-side adverse loss is 0.009, and ask-side adverse loss is 0.012. What is expected PnL?

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