{ "cells": [ { "cell_type": "markdown", "id": "4222dd9d", "metadata": {}, "source": [ "# Making Multiple Markets\n", "\n", "## Overview\n", "\n", "By diversifying your assets and constructing a market-making book, you can achieve improved risk-adjusted returns through the effects of diversification. In this example, we will demonstrate how the statistics of your market-making portfolio change as you increase the number of assets for which you create markets.\n", "\n", "To implement Grid Trading using the GLFT market-making model across multiple assets universally without needing to adjust parameters, a few modifications are required:\n", "\n", "Order quantities vary between assets due to differences in price, trading volume, and liquidity in the order book. To backtest all at once, you need to normalize your order quantities and make adjustments accordingly.\n", "\n", "In certain assets, market trades primarily take place at the best bid and offer levels. Since we only calculate our trading intensity when market trades match our quotes, you may not achieve adequate trading intensity to suit your trading intensity function in such cases. As a result, you'll need to explore alternative methods to determine your half spread and skew based on order arrival depths or you need to increase your reaction interval to get more deeper order arrival depth but it leads you to react delayed especially in a fast-moving market.\n", "\n", "See how $adj_2$ is determined to normalize different order quantities.\n", "\n", "