the difference would be...that balance is non negative? I don't know, I just saw it was abit funky and I did not follow through on the logic actually...
I recommend you read the paper from Olivier Guéant on Optimal market making (model B). It’s a more accurate resolution of the same equations. For example, your B (base spread) is just the inverse of kappa and q is the sum of “deltas” the unit order quoted.
You are welcome. It’s going to fix a couple of your assumptions on q for instance. The take away is very similar though: calibrating 2 parameters. Liquidity being quite simple because you can indeed estimate it visually. The other one is a bit more tricky.
finally, this paper does use the “reservation price” model but just give the optimal spread on the bid and in the ask, but you can compute a reservation price with a bit of maths and both approaches are exactly the same at the end.
One thing that is interesting about hummingbot's implementation is that it seems to be modeled for spot markets
the difference would be...that balance is non negative? I don't know, I just saw it was abit funky and I did not follow through on the logic actually...
I recommend you read the paper from Olivier Guéant on Optimal market making (model B). It’s a more accurate resolution of the same equations. For example, your B (base spread) is just the inverse of kappa and q is the sum of “deltas” the unit order quoted.
definitely will! I always seen references around for that but not yet gotten to it. thanks for the reco
There are also limits on +/-q, which is critical in how you quote. These limits were absent from AnS.
You are welcome. It’s going to fix a couple of your assumptions on q for instance. The take away is very similar though: calibrating 2 parameters. Liquidity being quite simple because you can indeed estimate it visually. The other one is a bit more tricky.
and just focus on model “B”, it is the simpler one and the one which is used by professionals.
finally, this paper does use the “reservation price” model but just give the optimal spread on the bid and in the ask, but you can compute a reservation price with a bit of maths and both approaches are exactly the same at the end.
*not use