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Lars Schaaf edited this page Jan 23, 2021 · 2 revisions

General Questions

Simon: Keep in mind that the exchange is dynamic and things change constantly. Your algorithm is highly dependent on that of others. Here are some concrete scenarios to take into account:

  1. What if you shoot for an order but it does not execute?

  2. What if you breach a limit?

  3. What if you are doing more trades than you anticipated?

  4. What if you suddenly get disconnected?

  5. What if the exchange sends you an error message?

  6. What if your algorithm is much less profitable than you expect it to be?

  7. What if your algorithm is much more profitable than you expect it to be?

Where to place your limit orders

I Are you posting in many places in the book?

I How do you react to order flow information?

I When is it good to cancel an existing limit order?

I How do you manage inventory risk?

I How much is too much or too little?

I When do you aggressively reduce your inventory risk?

  1. Does the rule of price changes in direction of liquidity apply to our simulation? (https://www.youtube.com/watch?v=-vqZwZPvGIg) YouTube
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