Why does winning every RFQ auction worry you?
Asked at Jane Street, Citadel
You respond to requests-for-quote: a client asks several dealers for a price on a block, and the best price wins the trade. Lately you win a large share of the auctions you enter.
Why should a high win rate make you nervous, and how should you adjust your pricing?
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.