جميع الكتب

مهني

1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
التطبيقات حول المدرب تسجيل الدخول ابدأ القراءة

Quantitative Finance · المسرد

ما معنى Uptime requirement؟

Definition 25.4 Markets III: Commodities, Energy and Crypto · الفصل 25 — Getting Access: Crypto Venues

An uptime requirement is the minimum share of sampled moments, over a measurement period, at which a market maker’s quotes in an instrument must meet the programme’s conditions on both sides: a maximum spread and a minimum size within a band around the mid price.

Uptime of a quoting strategy against a programme requiring USD 50 000 a side, as a function of the maximum spread allowed. The strategy quotes 8 basis points in normal conditions, widening with volatility, halves its size in volatile moments and pulls its quotes above three times normal volatility. Keeping full size up to 2.25 times normal volatility instead of 2.0 lifts uptime from 87% to 91%, past a 90% requirement (dotted). Simulated minutes. Data: the chapter’s tutorial.
Figure 25.3. Uptime of a quoting strategy against a programme requiring USD 50 000 a side, as a function of the maximum spread allowed. The strategy quotes 8 basis points in normal conditions, widening with volatility, halves its size in volatile moments and pulls its quotes above three times normal volatility. Keeping full size up to 2.25 times normal volatility instead of 2.0 lifts uptime from 87% to 91%, past a 90% requirement (dotted). Simulated minutes. Data: the chapter’s tutorial.
اقرأ في الفصل →