AVELLANEDA-STOIKOV MARKET MAKER
GBM price · Poisson arrivals · optimal quoting · mark-to-market PnL
RUNNING
MTM PNL
$0.00
INVENTORY
HEDGING
0
CURRENT SPREAD
—
TOTAL FILLS
0
MID PRICE (S)
100.000
BID — reservation − δ/2 + skew
—
ASK — reservation + δ/2 + skew
—
EFFECTIVE SKEW (manual + hedge)
0.000
PRICE / BID / ASK
mid
bid
ask
MARK-TO-MARKET PNL
MODEL PARAMETERS
Risk aversion γ
0.01
Volatility σ
0.10
Order depth k
1.70
Trade frequency A
100.0
Manual skew
0.0
Risk horizon T
0.30
Max inventory |q|
5
⏸ Pause
↺ Reset
FILL LOG
0 fills
awaiting fills…