Module avellaneda_lot_size 

Avellaneda-Stoikov market making with a configurable lot size.

A validating instance for DimensionKind::Jump and JumpKernel. The inventory is an integer lattice with spacing lot_size, so a single fill moves inventory by +lot_size (bid fill) or -lot_size (ask fill) rather than one unit. With lot_size = 1 the model reduces exactly to the base Avellaneda-Stoikov reduced value problem, providing a closed-form oracle for the general-jump machinery.

Dynamics

The inventory q is measured in units of the lot, so the jump amplitude is lot_size state units per fill. The reduced value obeys

d_t theta + H*(q) - 0.5 gamma sigma^2 q^2 = 0

where q ranges over the integer lattice lot_size * Z and the jump operator is lambda_bid (theta(q+lot) - theta(q)) + lambda_ask (theta(q-lot) - theta(q)).

Structs

AvellanedaLotSize

Avellaneda-Stoikov with lot size lot_size on the inventory dimension.