Expand description
Market-making control and spread conversion.
The generic crate::models::control::ControlProblem abstraction is
agnostic to what a control is. This module supplies the market-making
instantiation: the control is a pair of optimal bid/ask fill intensities,
and spreads are recovered from those intensities through the exponential
fill-rate formula.
Structsยง
- Market
Making Control - Optimal market-making control: a pair of fill intensities.
- Spread
Result - Market-making spreads derived from fill intensities.