5802金融与交易中等数值题medium
Queue Position Versus A Tighter Quote
题目
A maker holds front-of-queue at half-spread 0.06, giving fill probability 0.5 with adverse loss 0.02 per fill. Alternatively it can step one tick tighter to half-spread 0.05, jumping ahead of the whole queue for fill probability 0.8, same 0.02 loss. The metric is fill_prob * (h - loss) per round. Which choice has higher expected PnL, and by how much?
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你的答案
Choice with higher expected PnL
Difference in expected PnL