Research update
Does the market-making quote rule survive queue and refresh delay in the September test window?
No for practical execution: the registered zero-delay simulation is positive, while both 250 ms queue scenarios are strongly negative.
In the conservative queue-back model, zero delay gave +36794.77 USD over 20385 simulated fills. At 250 ms, it gave -39705.31 USD over 33658 simulated fills. The front-of-queue model also flips sign. These are model sums with daily inventory resets and no shared capital budget, not account returns.
Data · 14 days · 2026-09-04 to 2026-09-17
| Queue back, 0 msSimulated sum including assumed rebates | 3.679e+04 USD |
|---|---|
| Queue back, 250 msSimulated sum including assumed rebates | -3.971e+04 USD |
| Largest between-file gapRecorded book coverage gap | 29.75 hours |
Payload 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.
Report (docs/research/update_mm_queue_forward_2026-10-12.md) · Publication module (app/research_updates.py)
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