About this question
Medium · Market Microstructure · Quant Trader interview question · maker-taker, rebate, profitability, market-making
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