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Quantitative Finance · Glossary

What is Rebate capture?

Definition 17.1 Market Making and High-Frequency Trading · Chapter 17 — Rebates, Inverted Venues and Tiers

Rebate capture is the part of a passive market maker’s revenue that comes from the exchange’s rebate for adding liquidity rather than from the spread; a strategy that relies on it earns the rebate on fills that, before the rebate, would lose.

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