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We study the relationship between price spread, volatility and tradingvolume. We find that spread forms as a result of interplay between orderliquidity and order impact. When trading volume is small adding more liquidityhelps improve price accuracy and reduce spread, but after some point additionalliquidity begins to deteriorate price. The model allows to connect the bid-askspread and high-low bars to measurable microstructural parameters and expresstheir dependence on trading volume, volatility and time horizon. Using theestablished relations, we address the operating spread optimization problem tomaximize market-making profit.

Spread, volatility, and volume relationship in financial markets and market making profit optimization