I have been taking a "Trading Strategies" course, but the experience is awful as the instructor barely provides any learning resources. I have an upcoming evaluation on market making algorithm using VBA ran on a trading simulator against other classmates, the goal is to basically to maximize PnL.
The case brief is here if you are interested in the details. https://people.ucalgary.ca/~sick/RITC/Cases/RIT%20-%20Case%20Brief%20-%20ALGO2%20-%20Algorithmic%20Market%20Making.pdf
I am trying to find the optimal strategies for MM, and I have the following questions
To earn spread & rebate, I always submit a pair of bid and offer orders. However, they may not be filled, which will lead to inventory risk. What is the best way to hedge against this risk?
what price of limit orders should I submit at to maximize my chance of order getting filled?
In general, what's the best strategy for dealing with this simplified version of MM case