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Quantitative Finance · शब्दावली

Venue profile क्या है?

Definition 29.1 Market Making and High-Frequency Trading · अध्याय 29 — A Venue Playbook

A venue profile is a structured, versioned record of what a trading strategy must know about a venue before sending it an order (its matching rule, tick and lot, fees and their unit, market-data feed, order types, delays, message budget, session and known quirks), together with the strategy’s own parameters for that venue, validated by rules that tie the two together.

A venue profile and what it produces. The venue half and the quoting half are validated together; a valid profile yields the simulator’s configuration (Book 10’s exchange simulator), the quoter’s parameters, and the rows for Book 1’s venue registry and fee-schedule engine. The chapter runs one quoter on every simulated profile with the home venue’s parameters and with the profile’s own. Source: firm.venueprofile.
Figure 29.1. A venue profile and what it produces. The venue half and the quoting half are validated together; a valid profile yields the simulator’s configuration (Book 10’s exchange simulator), the quoter’s parameters, and the rows for Book 1’s venue registry and fee-schedule engine. The chapter runs one quoter on every simulated profile with the home venue’s parameters and with the profile’s own. Source: firm.venueprofile.
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