Market-Making Execution: Price Updates and Latency

Summary

The document offers a concise point about execution for delta-neutral, two-sided passive market making. It frames execution quality around how quickly quotes are adjusted as the market moves. A strategy with predictive information may update prices ahead of a move; without that advantage, reducing reaction latency is presented as the main practical lever.

This is a brief discussion rather than a detailed execution framework. It does not compare passive market making with market-taking execution, provide citations or measured results, or address other important factors such as queue position, adverse selection, fees, and fill probability. Its guidance is therefore a useful starting concept for quote management, but not a complete model or a demonstrated optimization method.

Key ideas

• Passive market-making execution depends in part on how quickly quotes respond to market changes.
• Predictive information can allow a market maker to adjust quotes before prices move.
• Without predictive information, lower reaction latency can help keep quotes current.
• The discussion does not provide a full execution model or empirical comparison.

Tags

# Execution Strategies


# Execution Strategies












I have a rather broad question. Not sure how to best put it. Does anyone have any papers/resources on how to improve the execution model of any strategy? Would it be different if strategy under question is a market making strategy vs a market taking strategy?

EDIT: What are some of the ways one can improve execution model of a market making strategy? I understand a lot of the research is prop, but is it possible to share some pointer?

## Answer by mr_mm (score 2)

https://quant.stackexchange.com/a/74233

> What are some of the ways one can improve execution model of a market making strategy?

If your market making strategy is delta-neutral two-sided passive quoting, then your execution quality is really down to how quickly you update your prices when the market moves. Ideally you update your prices before the market moves (ie you have alpha) but if not, then you must optimise latency to react very quickly.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.