New answers tagged market-making
2
I've worked in this industry for a while and have run ETF market making for quite a few years. It's very difficult to perfectly lock in profit as you detailed above. With fast equipment it can be done sometimes.
But most of the time you really are just hedging to model - and there is risk in that case. For example, you might sell ETF X and then hedge ...
0
Assigning a monetary value to queue position in this way seems very hard. I myself am not aware of any literature on this. What makes this problem particularly hard is that there is also value in being able to quickly cancel the quote in response to news which I think should be incorporated somehow. How quick one can cancel would depend on the participant ...
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