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5466One-Sided Quote EV 1A one-sided quote has fill probability 0.28. If filled, size is 200, half-spread capture is 0.018 per share, rebate is 0.001, and expected adverse-selection loss is 0.01 per share. What is the expected PnL?金融与交易简单数值题未尝试面试订阅5471Two-Sided Quote EV 1You 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?金融与交易中等数值题未尝试面试订阅5476Partial Fill EV 1A quote can fill in two sizes: with probability 0.25 you trade 100 shares and earn 0.012 raw edge per share; with probability 0.1 you trade 250 shares and earn 0.009 raw edge per share. Rebate is 0.0005 per share in either case. What is expected PnL?金融与交易简单数值题未尝试面试订阅5481Join Or Improve 1If you join the current best quote, fill probability is 0.26, size is 120, raw edge per share is 0.011, and rebate is 0.0005. If you improve the quote, fill probability becomes 0.18, size is 120, raw edge per share is 0.017, and rebate is 0.0005. Which action has higher expected PnL?金融与交易中等数值题未尝试面试订阅5486Why Positive Edge Per Fill Is Not EnoughWhy is positive edge on each fill not sufficient to make a quoting strategy attractive?金融与交易中等essay未尝试面试订阅5487Why Rebate Can Flip The DecisionWhy can a seemingly tiny maker rebate materially change whether a quote is worth posting?金融与交易中等essay未尝试面试订阅5488Why Hit Rate Can Be MisleadingWhy can a high fill rate be a warning sign instead of a success metric for a market maker?金融与交易中等essay未尝试面试订阅5489Why Average Spread Capture Overstates EdgeWhy does average spread capture often overstate true strategy edge?金融与交易中等essay未尝试面试订阅5490Why Latency Matters For EVWhy can quote-cancel latency reduce expected value even if your fair-value model is accurate on average?金融与交易中等essay未尝试面试订阅5805EV Per Fill With Rebate And Hedge FeeYou passively fill 300 shares capturing a half-spread of 0.022 per share and earning a maker rebate of 0.0012 per share. To flatten you immediately cross the spread on the hedge leg, paying a taker fee of 0.003 per share. What is the expected PnL for this fill?金融与交易简单数值题未尝试免费5806Breakeven Fill ProbabilityPosting a quote costs you 0.30 in expected order-management and infrastructure cost per quote regardless of outcome. If filled, the quote yields a net profit of 1.50. At what fill probability does the quote break even in expectation?金融与交易简单数值题未尝试免费5807Edge In Ticks To DollarsA futures market maker captures an edge of 0.75 ticks per contract on a fill. Each tick is worth 12.50 dollars per contract and the fill is for 8 contracts. What is the dollar edge on this fill?金融与交易简单数值题未尝试免费5808Net Edge After Adverse SelectionYou capture a half-spread of 0.04 per share when filled. A fraction 0.35 of your fills come from informed traders, and on those fills the fair value moves 0.10 per share against you (uninformed fills have zero subsequent move). What is your expected net edge per fill, per share?金融与交易中等数值题未尝试免费5809EV Comparison Of Two Quote PricesQuote A sits one tick inside: fill probability 0.40, net edge 0.015 per share. Quote B sits one tick wider: fill probability 0.25, net edge 0.028 per share. Both quote 100 shares. Which quote has higher expected PnL, and what is that higher value?金融与交易中等数值题未尝试免费5810Expected Profit Over N QuotesOver a session you post 5000 quotes. Each quote has a fill probability of 0.08, and each fill earns a net edge of 0.25. What is your expected total PnL for the session?金融与交易简单数值题未尝试免费5811Edge Required To Cover Inventory RiskEach fill of 200 shares leaves you holding inventory that carries an expected risk charge of 0.50 until you can hedge. The fill earns rebate of 0.001 per share. What minimum gross half-spread per share must you capture so the fill at least breaks even after the rebate and the inventory charge?金融与交易中等数值题未尝试免费5812Probability-Weighted PnL Of A Skewed QuoteLong inventory, you skew quotes to sell. The ask fills with probability 0.45 earning net edge 0.020 per share; the bid fills with probability 0.10 but is toxic, earning net edge -0.030 per share. Each side quotes 100 shares. Assuming at most one side fills, what is the expected PnL of this skewed quote?金融与交易困难数值题未尝试面试订阅5813Blended EV Across Maker And Taker FillsOf your 1000 fills, 70 percent are passive maker fills earning 0.05 net edge plus a 0.001 rebate per share, and 30 percent are aggressive taker fills earning 0.05 net edge minus a 0.003 fee per share. Every fill is 100 shares. What is your expected total PnL across all fills?金融与交易困难数值题未尝试面试订阅5814Maker Rebate Versus Taker Fee TradeoffPosting 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?金融与交易中等数值题未尝试免费5815EV Across A Fill-Size DistributionWhen your bid is hit, the executed size follows a distribution: 50 shares with probability 0.5, 200 shares with probability 0.3, and 400 shares with probability 0.2. You earn a net edge of 0.02 per share regardless of size. Given that you are filled, what is the expected PnL of the fill?金融与交易中等数值题未尝试免费