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5817金融与交易困难数值题long

Expected Edge Under Cancel Risk

题目

Per posted quote you normally capture 0.030 of net edge. On 20 percent of posts a price move makes your quote stale before you trade; you cancel successfully on 70 percent of those stale cases (avoiding the trade entirely), but on the remaining stale cases you are picked off and lose 0.080 per share instead of earning the edge. The other 80 percent of posts fill normally at the full edge. What is your expected net edge per posted quote?

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