5796金融与交易中等数值题short
Minimum Width To Clear Fees
题目
A venue charges a 0.003 taker-removal fee that the maker effectively pays when it must cross to flatten, and the maker pays a 0.002 clearing fee per fill but receives a 0.0015 maker rebate. Expected adverse-selection loss is 0.004 per fill. What minimum half-spread leaves non-negative expected PnL per fill?
解题计时
0:00
提交作答时记录,用于后续平均用时统计。
你的答案