It goes a bit further into the mechanics of market maker profitability. Does your simulator reflect what your queue position would be in a real electronic market? Does your market making algorithm have logic try to scratch out when it looks like the market is going to move against its position?
http://queue.acm.org/detail.cfm?id=2536492
It goes a bit further into the mechanics of market maker profitability. Does your simulator reflect what your queue position would be in a real electronic market? Does your market making algorithm have logic try to scratch out when it looks like the market is going to move against its position?