Fri, 14 Feb 2020 06:01:03 GMT
Could anyone share a little detailed idea of how to conduct markout analysis.
Mark out as I understand is, using different time frames to see if you would have held the position how much + or - pnl could be
But my question is, what position do you consider - the current netpos or its calculated from every execution ? (Think hft when positions change frequently)
And for price should one go with mid point ?
I am trying to do this for fx futures and not equity so any examples using that would help or for that matter any white paper or link
submitted by /u/KingSamy1
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