pnl = []
Gross profit = $100.07 – $99.98 = $0.09 per unit. daemon goldsmith - order flow trading for fun and profit.pdf
# Every 100 trades, flatten inventory at mid price (simplified risk mgmt) if _ % 100 == 0 and inventory != 0: cash += inventory * mid_price inventory = 0 pnl = [] Gross profit = $100
| Component | Description | |-----------|-------------| | | Buying at bid, selling at ask. | | Rebates | Some exchanges pay fees for adding liquidity (maker rebates). | | Adverse selection | Risk of being picked off by informed traders. | | Inventory management | Offsetting unwanted exposure. | | | Adverse selection | Risk of being
Typical output (varies by random seed):
if flow == 1: # Aggressive buyer hits our ask cash += ask_limit inventory -= 1 elif flow == -1: # Aggressive seller hits our bid cash -= bid_limit inventory += 1