Z-Bands and Friction-Aware Thresholds

Why does the round-trip cost formula multiply by (1 + β)?

• Because β is the fee multiplier on the B leg
• Because the B leg's notional is β times the A leg's, so both legs' fills are counted against the A-leg notional
• Because funding is charged on both legs

In this course's rule z_in = max(2.0, z_floor), what does a z_floor of 2.6 tell you?

• The pair should be skipped entirely
• At 2.0 the best-case capture is less than twice the round-trip cost, so the pair waits for 2.6
• The pair's stop should be moved to 2.6