Introducing Market Making under a Weakly Consistent Limit Order Book Model for after-work quants

Takeaway. Classic midprice market-making toys ignore book consistency; this paper asks how a market maker should quote when the LOB itself obeys a weakly consistent stochastic structure.

Market Making under a Weakly Consistent Limit Order Book Model (Benjamin Law, Frederi Viens, 2019) sits between "pure mid + inventory" stories and full LOB simulators.

Fit for learners: Market making on a weakly consistent LOB model—bridges book realism and tractable quoting intuition.

This Hub note is a plain-language intro. Not investment advice. Background: Avellaneda–Stoikov, Guéant optimal market making.

The problem

If your quoting model only sees a Brownian mid, you miss queue and depth effects that change fill odds and adverse selection. If you jump to a mega agent-based book, you drown in parameters. Learners need a middle rung.

The idea / core intuition

• "Weakly consistent" LOB dynamics constrain how the book can evolve so it does not invent impossible states.
• The market maker optimises quotes inside that constrained book world—not in a frictionless mid vacuum.
• Intuition upgrade: fill risk and book shape talk to each other; inventory control still matters, but the environment is richer.
• Read for modelling philosophy first; numerics second.

Open the PDF for assumptions and results. Do not paste coefficients into a live venue bot.

Why after-work Python learners care

You will eventually compare "mid-only AS" vs "book-aware" experiments. This paper names a coherent book-aware setting you can discuss in study notes.

Tiny evening exercise: list five LOB state variables (e.g. best sizes, spread, imbalance) and write which ones a mid-only model ignores—then sketch a fake state tuple in a Python dataclass.

One-evening reading checklist

1. Find the authors' definition of weak consistency (paraphrase it).
2. Contrast with Avellaneda–Stoikov's state variables.
3. Note what "market making" objective they optimise.
4. Write: book realism vs tractability trade-off in one sentence.

Download PDF

Download PDF

Landing: arXiv:1903.07222

Important disclaimer

Not investment advice. This Hub note is educational only. The paper is research—not a licence to trade, quote, or execute with real capital.

What this is not

• Not CEF / subsidy framing
• Not Quant or Macro course CTA
• Not a broker / signal-group pitch

Next step

Single course CTA: SoloQuant Academy's Introduction to Python Programming—get comfortable with functions, files, and plots first; then these microstructure PDFs become much less scary.