Fair Price in Market Making
Figuring out what price to quote around
In market making one of the key components is figuring out what the fair value of the asset you are market making on is.
In this article, we are gonna be talking about a few ways to figure this fair value out.
In the previous article on sports betting we already talked about fair value, now we are taking it to financial markets.
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Table of Content
Liquid Midprice
Weighted Midprice and Microprice
Skewing Fair Value using Metrics and Indicators
Using Trades Data
Final Remarks