Quant Interview Market Making Final Drill
Final market making drill for quant interviews covering fair value, bid-ask spreads, inventory, adverse selection, updates, and PnL review.
Candidates preparing for trading games and market making interview prompts.
Anchor the fair value
Begin by estimating a fair value from the available information and saying how uncertain it is. Your spread and size should respond to that uncertainty.
Quote with inventory in mind
A bid and ask are not just two numbers around a midpoint. Inventory, risk appetite, adverse selection, and the next update should influence width and skew.
Update after every trade
When a counterparty trades, treat the action as information as well as inventory change. Explain whether the fill makes you more confident or more cautious.
Review PnL mechanics
Final drills should include a mark, executed trades, and inventory so you can compute PnL without hand-waving. Keep signs and units explicit.
Common mistakes
Candidates often quote too tightly because the game feels abstract. Strong answers justify fair value, spread width, skew, size, and update logic.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.