3 ms·
Right but I don't see how this detracts from my point. Also, often the models are very simple - it's the calibration to a particular market that is very expensi
by Patient0 11y ago
Right but I don't see how this detracts from my point. Also, often the models are very simple - it's the calibration to a particular market that is very expensive (the constants - which are then often hard coded for best performance). This is because calibrating it requires access to data from actual trading activity (not just tick data, I mean also information on say the chance that your order will be filled in a particular situation: information you can only get by actually placing orders of size in the market and observing when they got filled).
- lordnacho 11y agoIf you don't know how that constant is arrived at, how do you know whether it still applies to the current market? Don't you want to know whether your assumptions still hold? And aren't you stealing the wrong thing, then? If you do know, why do you care what the number actually is? And why would hard coding improve performance? Compiler optimization?
- dropit_sphere 11y ago>(the constants - which are then often hard coded for best performance). This caught my eye. Really?
- tedunangst 11y ago#define TARGET_DELTA 70 Is a reasonable form of "hard coding".