mjuchli / ctc-executioner

Master Thesis: Limit order placement with Reinforcement Learning
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[Framework] Inventory decreases after partial execution for each step #20

Open mjuchli opened 6 years ago

mjuchli commented 6 years ago

Instead of decreasing the inventory only after the step at which a partial fill was done, the environment decreases the inventory for each subsequent step. For example here: the inventory should remain at 0.9 analysis-limit-wide-spread-sell