Struct KellyRigorousStrategy 

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

Kelly-optimal market-making strategy driven by the rigorous log-utility HJB.

Rigor: Rigorous. Uses the true log-utility HJB solution, not a CARA approximation. On every tick:

1. Computes tau = t_horizon - elapsed and x = cash / mid.
2. Interpolates 3D spread tables at (q, x, tau).
3. Places bid/ask orders at mid +/- interpolated spread.

Table format

Both tables must be 3-dimensional with axes [q, x, tau]:

• axis 0: inventory (-Q..Q)
• axis 1: wealth ratio x = X/S
• axis 2: time remaining tau (0..T)

Fields

params: KellyRigorousParameters

bid_spread_table: Arc<LookupTable>

ask_spread_table: Arc<LookupTable>

Implementations

impl KellyRigorousStrategy

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

Trait Implementations

impl Clone for KellyRigorousStrategy

fn clone(&self) -> KellyRigorousStrategy

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Strategy for KellyRigorousStrategy

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.