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Using markouts to measure how toxic your flow is

You want to measure whether the flow you're trading against is "toxic" (informed) or benign. You have your fills and the mid-price a short time after each one.

Define the markout, compute the average 3030-second markout for the sample below, and say what it tells you. You bought at \50.00(mid(mid30slater:s later: $49.96),boughtat), bought at $50.02(latermid(later mid$50.05),andsoldat), and sold at $50.10(latermid(later mid$50.14$).

Your answer

This one is open-ended. Work it through, then check your reasoning against the full solution.

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