Struct AvellanedaStoikovExactStrategy 

pub struct AvellanedaStoikovExactStrategy {
    pub params: AvellanedaStoikovExactParameters,
    pub bid_spread_table: Arc<LookupTable>,
    pub ask_spread_table: Arc<LookupTable>,
    /* private fields */
}

Avellaneda-Stoikov strategy driven by the exact GBM matrix-ODE solution.

On every tick the strategy:

1. Computes tau = t_horizon - elapsed_seconds.
2. Interpolates the 2-D spread tables at (q, tau).
3. Places bid/ask orders at mid +/- interpolated_spread.

Table format

Both tables must be 2-dimensional with axes [q, tau]:

• axis 0: inventory grid (e.g. -10..10)
• axis 1: time remaining in model seconds (0.0..T, increasing)

Use gen_as_spread_tables from the Python bindings to generate compatible tables.

Fields

params: AvellanedaStoikovExactParameters

bid_spread_table: Arc<LookupTable>

2D lookup table for the bid half-spread: axes [q, tau].

ask_spread_table: Arc<LookupTable>

2D lookup table for the ask half-spread: axes [q, tau].

Implementations

impl AvellanedaStoikovExactStrategy

pub fn new( params: AvellanedaStoikovExactParameters, bid_spread_table: Arc<LookupTable>, ask_spread_table: Arc<LookupTable>, ) -> Self

Trait Implementations

impl Clone for AvellanedaStoikovExactStrategy

fn clone(&self) -> AvellanedaStoikovExactStrategy

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Strategy for AvellanedaStoikovExactStrategy

fn on_tick(&mut self, obs: &Observation, requests: &mut Vec<OrderRequest>)

Called each tick with the agent’s filtered observation. Appends order requests (New, Cancel, CancelAll) to the provided buffer.

fn as_any(&self) -> &dyn Any

Downcast helper — returns self as &dyn Any.

fn as_any_mut(&mut self) -> &mut dyn Any

Downcast helper — returns self as &mut dyn Any.