Market making models
Posted: Fri Sep 25, 2020 2:02 pm
Relatively off topic.... Do you guys know or have references on the optimal message rate.
It seems to me there is a relationship between a high cancel replace rate, latency and expected return/risk horizon.
Any high level ideas appreciated too.
It seems to me there is a relationship between a high cancel replace rate, latency and expected return/risk horizon.
Any high level ideas appreciated too.