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Doug Colkitt - High Frequency Trading, MEV Strategies, and CrocSwap (S6E3)
Flirting with Models
The Importance of Q Position in the Market
Q position is almost sort of everything, a hugely important aspect of the alpha you generate on the market making side. Can you talk about what Q position is? What are layers in the order book? How do they operate? Why is Q position so critical? And why does it lead to this behavior where market makers have resting orders in the limit book and then as they get closer and closer to the top, they cancel and pull them)? So I was hoping maybe you can just sort of shine some light on this market micro structure aspect.
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