Daniel Cook (@dan_is_coding) 's Twitter Profile
Daniel Cook

@dan_is_coding

Coding. HFT. Crypto. Rust.

ID: 1631678537466871811

calendar_today03-03-2023 15:31:31

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Indirect answer: Make your FV the price at which, given a fill and the subsequent hedge, the EV of your realized PNL = 0. So it should depend on your risk holding time expectation conditional on a fill at each moment.