5814金融与交易中等数值题short

Maker Rebate Versus Taker Fee Tradeoff

题目

Posting passively, you earn a rebate of 0.002 per share but capture only 0.006 of edge with fill probability 0.30. Crossing aggressively, you pay a taker fee of 0.003 per share, capture 0.011 of edge, and fill with certainty. For a 100-share order, which approach has higher expected PnL?

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