jgrusewski f6745400ef feat(scripts): passive market-making markout/adverse-selection harness ...

Measures passive-MM economics on clean ES MBP-10: half-spread earned vs
adverse-selection markout at horizons, plus OFI-conditioned selective quoting.
Verdict on 2024 ES: adverse selection ~0.4 tick eats ~80% of the 0.5-tick
half-spread => naive passive MM is break-even (optimistic, win-every-queue;
realistically negative). OFI-conditioned selective quoting shows a consistent
edge in Q2 (+$0.5/fill) but not Q1 => promising but unconfirmed; decisive
next test is a realistic queue/fill model.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-05 19:21:30 +02:00

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