Quoting Against Informed Flow

An asset is worth X∼Uniform(0,1)X \sim \text{Uniform}(0,1), drawn only after you quote. You post a bid bb and an ask aa, and 1000 traders arrive:

  • 300 are informed: each knows XX exactly.
  • 700 are uninformed: each draws an independent guess G∼Uniform(0,1)G \sim \text{Uniform}(0,1) and treats it as the value.

Every trader trades at most one unit and only when they expect a profit, so a trader buys from you at aa when their value estimate exceeds aa, and sells to you at bb when it falls below bb. Choose aa and bb to maximise your expected profit.

What is the resulting spread a−ba - b?

Answer format: round to 3 decimal places.