5 ms·
Isn'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?
by gmueckl 4y ago
Isn'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.