Historical study
Does market making carry at a 120 second requote?
No. Adverse selection takes 362 cents per fill against 148 cents of spread earned, in the tape fill model.
Each fill earns 148 cents of spread and hands back 362 cents almost immediately, leaving -338 cents. The reason is who trades against a stale quote: whoever already knows the price has moved. Over 13,341 fills across 12 days that pattern does not average out, it is the pattern.
Data · 370,903 book snapshots · 4,519 tokens · 12 days · 2026-07-18 to 2026-07-30
| Spread earned | 148.3 cents per fill |
|---|---|
| Adverse selectionwhat the market takes back right after the fill | -362 cents per fill |
| Net | -337.6 cents per fill |
| Fills | 13,341 |
Next test · planned
Can a continuously financed portfolio earn positive conservative exit PnL after partial fills, queue position, quote and cancellation latency?
Research renewal planPayload snapshot 2026-10-12. These figures are frozen; the interactive page reads the same file.
Page export dates do not extend the observation period shown above.
Full report (docs/research/mm_pnl_july-2026.md) · Source module (src/mm_pnl.py)
Research tool only: no investment advice, no order placement, no venue affiliation. Public Polymarket and Kalshi data, provided as-is.