Struct MarketMakingControl 

pub struct MarketMakingControl {
    pub bid_intensity: f64,
    pub ask_intensity: f64,
}

Optimal market-making control: a pair of fill intensities.

bid_intensity is the rate at which the market maker’s bid quote is filled (sell market orders hitting the bid); ask_intensity is the rate at which its ask quote is filled (buy market orders hitting the ask).

Fields

bid_intensity: f64

Optimal bid fill intensity.

ask_intensity: f64

Optimal ask fill intensity.

Implementations

impl MarketMakingControl

pub fn new(bid_intensity: f64, ask_intensity: f64) -> Self

Creates a market-making control from bid and ask intensities.

Examples

use solver::models::market_making::MarketMakingControl;
let c = MarketMakingControl::new(1.5, 2.0);
assert_eq!(c.bid_intensity, 1.5);
assert_eq!(c.ask_intensity, 2.0);

pub fn to_spreads(&self, a: f64, kappa: f64) -> SpreadResult

Recovers the bid/ask half-spreads from the fill intensities.

Inverts the exponential fill model lambda = a * exp(-kappa * delta).

Panics

Panics if a or kappa is not positive.

Examples

use solver::models::market_making::MarketMakingControl;
let a: f64 = 140.0;
let kappa: f64 = 1.5;
let c = MarketMakingControl::new(a * (-1.5_f64).exp(), a * (-2.0_f64).exp());
let spreads = c.to_spreads(a, kappa);
assert!((spreads.bid_spread - 1.0).abs() < 1e-12);
assert!((spreads.ask_spread - 2.0 / 1.5).abs() < 1e-12);

Trait Implementations

impl Clone for MarketMakingControl

fn clone(&self) -> MarketMakingControl

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for MarketMakingControl

impl Debug for MarketMakingControl

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl PartialEq for MarketMakingControl

fn eq(&self, other: &MarketMakingControl) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for MarketMakingControl