◉ HFT Counterfactual · Live
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Crosses Seen
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Unprofitable (now)
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taker × taker
Would Flip
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with maker rebate
Captured PnL
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at flipped opps
Per-venue capture · "If you were maker-qualified here, X opps captured"
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Top 15 opportunities by ΔPnL · negative-now / positive-counterfactual highlighted
| Pair | Buy @ | Sell @ | Gross | Cap $ | Fee now | Net now | PnL now | Net w/ rebate | PnL w/ rebate | ΔPnL |
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Counterfactual schedule: maker at buy-leg (MM-program rate if the venue has one, else best maker tier) + taker at sell-leg. Update fee assumptions in
latency/hft_counterfactual.py.