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For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.

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The market-maker makes a bid-ask spread $\delta$ around the reservation price $r$. So at any time, the market-maker quotes the bid price $$ p_b = r - \delta/2, $$ and the ask price $$ p_a = r + \delt …
answered Oct 12 '17 by RRG