Market Making Fill Probability Interview Questions
Market making fill probability interview guide for reasoning about whether quotes trade, how tightness affects flow, and why fills can be selected.
Candidates comparing competitive quotes, edge, and execution.
A quote only matters if it can trade
Fill probability is the chance your bid or ask is actually hit. A quote with no fills has no realized spread but also no inventory risk.
Tighter quotes usually fill more
Moving closer to fair value can attract more trades, but it reduces protection against error and selection.
Concrete example
A 99 at 101 quote around fair value 100 may fill more often than 95 at 105, but the wider quote has more cushion if it does trade.
Fills are not random samples
Trades may be more likely when your quote is attractive to informed or opportunistic counterparties.
Expected edge combines fill and payoff
A market-making decision should consider fill probability, expected profit when filled, and inventory cost after the fill.
Common mistakes
Candidates often choose the quote with the best payoff if filled, ignoring whether it is likely to trade at all.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.