4 ms·
I think it just moves the goal post of the problem. If I now have a 200ms window, then I need to optimize for that 200ms cutoff. I want to do as much work as po
by JamesSwift 4y ago
I think it just moves the goal post of the problem. If I now have a 200ms window, then I need to optimize for that 200ms cutoff. I want to do as much work as possible while _still reaching the cutoff_ and so minimization of "non work" still matters. Not only that, but now you incentivize filling up that 200ms with 200ms of analysis.
- gmueckl 4y agoIsn't that where the randomness of the trading interval comes in? How do you optimally fill out a time interval with a length that is unknown to you?
- JamesSwift 4y agoAh, I didnt interpret the comment as being a variable delay. I think the point still holds though that you would still optimize for the lower bound.
- jedberg 4y agoYou could, but then if say the delay is 439ms, then you'll sit idle for 239ms. It would make more sense from a game theory perspective to simply process for as long as necessary and then place the order.