  We consider a pair of traders in a market where the information available to
the second trader is a strict subset of the information available to the first
trader. The traders make prices based on the information available concerning a
security that pays a random cash flow at a fixed time $T$ in the future. Market
information is modelled in line with the scheme of Brody, Hughston & Macrina
(2007, 2008) and Brody, Davis, Friedman & Hughston (2009). The risk-neutral
distribution of the cash flow is known to the traders, who make prices with a
fixed multiplicative bid-offer spread and report their prices to a game master
who declares that a trade has been made when the bid price of one of the
traders crosses the offer price of the other. We prove that the value of the
first trader's position is strictly greater than that of the second. The
results are analyzed by use of simulation studies and generalized to situations
where (a) there is a hierarchy of traders, (b) there are multiple successive
trades, and (c) there is inventory aversion.
