Class SkewedQuoter

java.lang.Object

com.quantfinlib.crb.SkewedQuoter

public final class SkewedQuoter
extends Object

Inventory-skewed two-way pricing — the central risk book's quoting face. A CRB long inventory shades BOTH quotes down: the ask gets more attractive (sell what we hold), the bid less (stop accumulating). That is the Avellaneda-Stoikov reservation-price intuition applied at book level, without the vol/horizon machinery: skew is linear in inventory as a fraction of the inventory limit, capped so the quote NEVER crosses itself.

  skew = −(inventory/limit)·skewFraction·halfSpread   (clamped ±1)
  bid  = mid·(1 + (−halfSpread + skew)/1e4)
  ask  = mid·(1 + (+halfSpread + skew)/1e4)

skewFraction in [0, 1): at 1 a full-limit inventory would quote a zero-width side, so the ctor stops just short. Deterministic, static, research/warm lane.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	SkewedQuoter.Quote	A shaded two-way price.

Method Summary

Modifier and Type	Method	Description
static SkewedQuoter.Quote	quote(double mid, double halfSpreadBps, double inventory, double inventoryLimit, double skewFraction)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

quote

public static SkewedQuoter.Quote quote(double mid,
 double halfSpreadBps,
 double inventory,
 double inventoryLimit,
 double skewFraction)

Parameters:

mid - current fair value, > 0

halfSpreadBps - unskewed half spread in bps, > 0

inventory - book inventory in the quoted factor's units (signed)

inventoryLimit - inventory limit, > 0 (same units)

skewFraction - how much of the half spread a full-limit inventory shades, in [0, 1)