Skip to content
GetProfitable
Search
Dictionary

Adverse selection

The systematic cost of being filled mainly by counterparties who know something you do not, so your passive fills cluster just before the price moves against you.

It is the fundamental cost of providing liquidity. Nobody trades with your resting order because they want to do you a favour; they trade because at that moment your price is the attractive one.

It is measured by looking at where the price sits shortly after your fills. A passive strategy with a good spread capture and terrible one-second markouts is not earning the spread — it is renting it out to informed traders.

Example: 10,000 passive buys at an average of 30.00 with a quoted spread of 4 cents implies $200 of theoretical capture. If the midpoint one second after each fill averages 29.985, the realised markout is negative 1.5 cents, or negative $150 — the spread plus more, handed to better-informed counterparties.

Related: toxic-flow, resting-order, queue-position, realised-spread

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

Bid-ask spread in an order bookSell orders stacked above buy orders with a gap between the best of each.SELLERS (asks)50.0690050.051,40050.0460050.011,10050.002,30049.99800spread = 0.03BUYERS (bids)
The bid-ask spread. Buy orders sit below, sell orders above, and the gap between the best bid (50.01) and best ask (50.04) is the spread you pay to cross. Bar length shows the size resting at each price.

Educational only, not advice. Spotted an error? Post in Site Feedback.