Poker market making game for quant trading interviews
← CasinoPoker Market Making
Quote a bid and an ask on the sum of the card ranks. Cards come up one at a time and you requote after each. 5 hands, scored on total PnL.
The contract pays the sum of the card ranks, with A=1 and K=13. Before each card comes up you post a bid and an ask no wider than the table maximum, and a trader may buy at your ask or sell at your bid, one lot at a time, up to 3 either way. After the last card your position settles at the real sum, and the review shows fair value and its standard deviation for every quote you made.
Trading interviews at market makers use this game to see whether you can price an uncertain quantity quickly and keep updating it as information arrives. It also tests whether you notice when the person trading with you knows more than you do, and widen or move your market in response.