Questions / Quant trading, Execution & microstructure
A stale quote loses its benchmark
You sell 50 units at 40.02. New public information makes their conditional expected value 40.10 before the fill. With no fees, what is expected P&L?
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Answer: -4 currency units
- As seller, expected P&L is 50 × (40.02 − 40.10) = −4.
Interview shortcut. Seller P&L = size × (price − value).
In the app this has a follow-up where one thing about the setup changes. Try the follow-up.