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Level 11 · ◆◆◆◆ · ~13 min

Decomposing the Spread

Decomposing the Spread

"Take a real spread apart into the three things it is paying for — using nothing but trade prices and the mid, before and after."

quoted, effective and realised spreadthe additive decompositionRoll's implied spread estimatorbid-ask bounceempirical magnitudes of each component
🚀 You're jumping ahead. This builds on Inventory Risk — but play it now and you'll still earn full XP. If it feels steep, those make a gentler on-ramp.

A short lesson, then a quiz. ❤️×3 — a wrong answer costs a heart; finish with at least one left and the level is yours. Lose all three and you'll have to try again. Replay any time — XP and cleared levels are never lost.