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Quantitative Finance · Glossary

What is Fee neutrality?

Definition 7.4 Microstructure and Execution · Chapter 7 — Fees, Rebates and Venue Economics

The split of a venue’s fee between makers and takers is neutral when moving part of the fee from one side to the other, the total F=fmake+ftakeF=f^{make}+f^{take} held fixed, leaves every trader’s fee-adjusted prices and the market’s outcomes unchanged: the quotes absorb the move.

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