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Enron Mail |
Hi Bob,
some comments : 1. You request Enron position after successful market order, but not after limit order -- you may want it after limit order as well to be consistent. I am not clear on how you would use Enron position. It is possible that the trading desk will have a target position in mind and they will set bids and offers in such a way as to try to achieve that target position, but this target position probably changes continuously and is not stored anywhere, and without this target position there is nothing to compare actual Enron position to. Of course, Enron position may still provide some insights. 2. You request bid-mid-ask prices for each trade --- given that a successful trade may execute later than time of order (especially for limit orders), would you need the evolution or range of bid-mid-ask over this time interval (time of order to time of execution)? Also, for failed trades, you may need the evolution or range of bid-mid-ask over the time interval from time of order to time of rejection. This again mainly applies to limit orders, as the time intervals may not be significant for market orders given the speed of execution (something to check). -----Original Message----- From: Lee, Bob Sent: Monday, April 23, 2001 8:33 AM To: Kaminski, Vince; Shanbhogue, Vasant; Barkley, Tom Cc: Lu, Zimin; Huang, Alex; Gibner, Stinson Subject: EOL Pricing Algorithm A draft data request for EOL data we would use to study P&L patterns for the "George" pricing algorithm is attached for your review. I would like to send this to Andy Zipper and Jay Webb this afternoon. Bob << File: Trade Data Request.doc <<
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