I already pointed out that the Avellaneda and Stoikov AS mm model has multiple unrealistic features. I will assemble a list in an upcoming tweet. But I want to go back to something I already brought up but bears repeating. AS does not include price ticks or priority queues. It is a continuous price model and, in theory, you are meant to change the bid and ask as the midprice evolves under the stochastic dynamics. One can cover the gas costs and charge only maker taker fees which would ease the burden on the mm — and lead to tighter spreads. However, when we replace an order we lose priority in the queue so there is an opportunity cost associated with a cancellation even if there is no cancellation fee (and even if you prioritize cancels). In the continuous pricing model of AS, one can imagine a situation where you keep canceling orders based on the changing asset price and you keep going to the back of the queue — and your orders never get filled! On the other hand, if we don't cancel with alacrity the fear is that our stale quotes will get picked off. But 1) what exactly does that mean and 2) how would one fix it? 1) Getting picked off refers to the usual concern that our quote is stale and an informed trader will move against us. 2) To learn how to fix it with a simple heuristic prescription you will need to attend my @aptos talk.😇😇😇