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124 questions · full solutions

Market Making & Betting

Spreads, adverse selection, Kelly sizing, odds arithmetic, and quoting games. The wing that maps most directly onto live trading-firm exercises.

  1. 01What Does a Market Maker Do?Easy
  2. 02Make Me a Market on a DieEasy
  3. 03Beating the VigMedium · Private
  4. 04Sizing the 60/40 CoinMedium · Private
  5. 05Kelly with OddsMedium · Private
  6. 06The Flow That Picks YouMedium · Private
  7. 07News Hits Your QuoteMedium · Private
  8. 08Two Books, One ArbHard · Private
  9. 09The Cliff Past KellyHard · Private
  10. 10Pricing the Spread Against Informed FlowHard · Private
  11. 11Market on the Next CardMedium · Private
  12. 12Skewing the Quote After a FillHard · Private
  13. 13Why Limit a Winning Trader?Easy
  14. 14Pricing a One-Sided RequestMedium · Private
  15. 15Crossed Market, Two VenuesEasy
  16. 16Three Currencies, One LoopHard · Private
  17. 17Three Odds Formats, One PriceEasy
  18. 18Parlays and the Correlation LoopholeMedium · Private
  19. 19What's a Free Bet Worth?Medium · Private
  20. 20Back at the Book, Lay at the ExchangeMedium · Private
  21. 21Ruin with the Odds in Your FavorHard · Private
  22. 22Kelly on Two Coins at OnceHard · Private
  23. 23Kelly When You Don't Trust Your EdgeMedium · Private
  24. 24The Square-Root Law of ImpactMedium · Private
  25. 25How Wide? Vol Times Root-TimeMedium · Private
  26. 26Maker-Taker ArithmeticEasy
  27. 27Queue Position and the TickHard · Private
  28. 28Why Pay for Retail Orders?Medium · Private
  29. 29Market on a Number You Don't KnowEasy
  30. 30Long 5,000. Where's Your Market?Medium · Private
  31. 31Volume Is Vanity, Realized Spread Is SanityMedium · Private
  32. 32Spread from Trades AloneHard · Private
  33. 33How Wide to Quote: Volume Times MarginHard · Private
  34. 34Market on the Product of Two DiceEasy
  35. 35The Margin in a Three-Way LineEasy
  36. 36How Much Toxicity Can the Rebate Buy?Easy
  37. 37Stripping the Vig from a Two-Sided LineMedium · Private
  38. 38No-Vig Fair from a Three-Way MarketMedium · Private
  39. 39Reds in the Top TenMedium · Private
  40. 40Market on the Max of Three DiceMedium · Private
  41. 41Spread Against Imperfectly Informed FlowMedium · Private
  42. 42Why Patience Halves the BillMedium · Private
  43. 43Effective, Realized, and the Sign FlipMedium · Private
  44. 44Chasing the Rebate TierMedium · Private
  45. 45The Middle That Pays Both WaysMedium · Private
  46. 46Market on the Next FlipMedium · Private
  47. 47Lean the Whole ComplexMedium · Private
  48. 48Hedging the Inventory You Can't DumpMedium · Private
  49. 49Market on the Middle DieEasy
  50. 50What Can Tonight Cost?Easy
  51. 51Did You Beat the Close?Medium · Private
  52. 52Three Books, One LockMedium · Private
  53. 53Where the 25 Basis Points WentMedium · Private
  54. 54Join the Queue or Jump It?Medium · Private
  55. 55The Spread Is a Function of SizeMedium · Private
  56. 56Two Markets, One TruthMedium · Private
  57. 57Build the Spread from PartsMedium · Private
  58. 58What Half-Kelly Buys YouMedium · Private
  59. 59Five Times Normal Size, PleaseMedium · Private
  60. 60Pricing the BlockMedium · Private
  61. 61Three Fills, One LadderHard · Private
  62. 62The Spread That Survives the BandHard · Private
  63. 63Why Your Quote Shouldn't Straddle FairHard · Private
  64. 64The Peeker Who Must TradeHard · Private
  65. 65They Saw Five of Your Twenty FlipsHard · Private
  66. 66Lambda by HandHard · Private
  67. 67Same Price, Different QueueHard · Private
  68. 68You Won the Auction. Sorry.Hard · Private
  69. 69The Option in the Last LookHard · Private
  70. 70Sizing to Survive the LimitHard · Private
  71. 71Two Bets That RhymeHard · Private
  72. 72Quotes from a Risk PenaltyHard · Private
  73. 73Three Good Fills, One Bad DayHard · Private
  74. 74The Band Where You Do NothingHard · Private
  75. 75Yesterday's Size on Today's EdgeHard · Private
  76. 76The Drift You Only Meet When UnfilledHard · Private
  77. 77Hedging the Book You Already WroteHard · Private
  78. 78The Position You Can Afford to ExitHard · Private
  79. 79The Spread That Kills Its MarketHard · Private
  80. 80One Price Cannot Fit Two SizesHard · Private
  81. 81Pricing a MillisecondHard · Private
  82. 82A Sharpe Is Not a ShieldHard · Private
  83. 83The Envelope GauntletHard · Private
  84. 84Your Fills Are a Hypothesis TestHard · Private
  85. 85Quote Through the Number?Hard · Private
  86. 86Why the Spread Market Is Tighter Than Its LegsHard · Private
  87. 87Two Reasons to Move, One QuoteHard · Private
  88. 88Price the Cash-Out ButtonHard · Private
  89. 89Trading Rich to the BasketEasy
  90. 90The Premium That Pays for CreationMedium · Private
  91. 91Fair Value Is Spot Plus RentMedium · Private
  92. 92Grading a Fill Against the TouchMedium · Private
  93. 93The Overnight Meter on Your InventoryMedium · Private
  94. 94The Hedge the Regression Hands YouMedium · Private
  95. 95No Prints for Twenty-Five MinutesMedium · Private
  96. 96Where Does the Open Print?Hard · Private
  97. 97Selling Into the Closing PushHard · Private
  98. 98The Discount That Refuses to Be ArbedHard · Private
  99. 99A Day in the Life of a Basis BookHard · Private
  100. 100Half-Life In, Round Trip OutHard · Private
  101. 101Is the Spread Wide or the Model Dead?Hard · Private
  102. 102How Much Can You Pay for the Flow?Hard · Private
  103. 103Whose Best Execution?Hard · Private
  104. 104Half the Tick, a Fifth of the RentHard · Private
  105. 105Pricing the Right to RequoteHard · Private
  106. 106What the Rack Space Actually BuysHard · Private
  107. 107The Rebate Venue That Costs the MostHard · Private
  108. 108Two-Sided in a Name You Can Barely ShortHard · Private
  109. 109One Number for the Whole BookHard · Private
  110. 110Carry It or Kill It?Hard · Private
  111. 111Vol Doubles. Your Spread Does Not Just Double.Hard · Private
  112. 112Quoting the ReopenHard · Private
  113. 113Six Fills, Three Horizons, One DiagnosisHard · Private
  114. 114Size the Posterior, Not the BacktestHard · Private
  115. 115A Market on the VerdictHard · Private
  116. 116Two Models, One StormHard · Private
  117. 117The P&L of Picking People OffHard · Private
  118. 118Two Noisy Witnesses, One Fair ValueHard · Private
  119. 119“I'll Trade Ten Times Your Size”Medium · Private
  120. 120The Unit Trap MarketEasy
  121. 121Double or QuarterHard · Private
  122. 122Turn 100 into 200Hard · Private
  123. 123Make a Market on the CoffeesMedium · Private
  124. 124Make a Market on Piano TunersEasy