Optiver, IMC, Jane Street, SIG, Akuna, DRW — they all run a version of the same interview: "Make a market on this." You compute an expected value, quote a two-way bid/ask, and trade against someone who might know more than you. Win by capturing the spread without getting picked off. Learn the math, read the ladder, then play it below.
Every quote, every trade, every spread you've seen in this lab reduces to one idea: the probability-weighted average outcome. E[X] = Σ pᵢ·xᵢ. If you can price the EV faster and tighter than the other side, you win over enough repetitions.
One fair die: E[X] = (1+2+3+4+5+6)/6 = 3.5, Var = 35/12 ≈ 2.92. Roll enough and the empirical mean converges to 3.5 — the Law of Large Numbers, the bedrock under every edge.
A price ladder, or Depth of Market, is the vertical map every futures trader stares at: prices stacked top to bottom, resting bids on one side, asks on the other, size at each level. Your two-way quote is just two rows on this ladder. Learn the vocabulary — it's the language of the game.
Inside market = 72.07 bid / 72.09 ask, spread = 0.02, mid = 72.08.
Each round you make a market on the sum of N hidden dice. Quote a bid/ask on the ladder. Uninformed (noise) flow trades at your quote and pays you the half-spread. Informed flow only trades when your price is wrong — and picks you off. Reveal dice to sharpen your EV, re-quote, then settle at the true value. 5 rounds. Start: 350 chips. Beat 500.
Figgie is a 40-card, 4-suit game (8 / 10 / 10 / 12 cards). One suit is the hidden goal suit — always the same colour as the 12-card suit, and itself an 8 or 10. Players ante into a $200 pot, then trade cards open-outcry for ~4 minutes, inferring the goal suit from the flow. Holders of the goal suit earn $10/card; the majority holder takes the rest of the pot. It's market-making, Bayesian inference, and adverse selection compressed into a card game.
Rules: figgie.com · [05]
A market maker's bid-ask spread decomposes into three costs:
The third term is the killer: every counterparty might be informed. The MM widens to survive informed flow and earns back the spread from uninformed flow — exactly the tension you just played. Skew your quotes to offload inventory; widen when uncertain.