eol wti maket maker simulation model stinson ,
i add the total p / l due to contract rollover . when the number of trades is
large
and the spread is not too small , the model prints a lot of money , dominated by
those trade earning the half of bo spread .
i also wrote an explaination about the model on the front page . i think we
are
ready to deliever the model v . 1 .
the next step is to incorporate the intra - day market movement by using high
and low
prices into the pricing . i will call you on monday .
happy thanksgivings !
zimin
eol wti maket maker simulation model
stinson ,
i add the total p / l due to contract rollover . when the number of trades is
large
and the spread is not too small , the model prints a lot of money , dominated by
those trade earning the half of bo spread .
i also wrote an explaination about the model on the front page . i think we
are
ready to deliever the model v . 1 .
the next step is to incorporate the intra - day market movement by using high
and low
prices into the pricing . i will call you on monday .
happy thanksgivings !
zimin