reward with action 1 (ClearInventory)

tspooner / rl_markets

Market Making via Reinforcement Learning

https://arxiv.org/abs/1804.04216v1

BSD 3-Clause "New" or "Revised" License

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Open stephenkgu opened 4 years ago

stephenkgu commented 4 years ago

ClearInventory uses market order, which does not deal with the reward, just make position to zero.

Will this be an issue? I did not find any Pnl calculation relating with market order.

Regards, @tspooner