Rebate Capture Strategy - Quant Trader Interview Question
Difficulty: Medium
Category: Market Microstructure
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: maker-taker, rebate, profitability, market-making
Problem Description
You are trading a stock with a maker-taker fee structure. As a market maker, you receive a rebate of 0.003 dollars per share when you provide liquidity (act as the maker). You want to design a strategy to capture these rebates while minimizing risk. Assume you can buy or sell the stock at the same price.
You execute the following strategy:
1. Post a limit order to buy 1000 shares at price X.
2. Simultaneously post a limit order to sell 1000 shares at price X.
Both orders are filled immediatel
Practice this medium trader interview question on MyntBit - the all-in-one quant learning platform with 200+ quant interview questions for Jane Street, Citadel, Two Sigma, and other top quantitative finance firms.