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Implemented get_max_long for a post-netting world #569

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merged 7 commits into from
Aug 25, 2023

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jalextowle
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@jalextowle jalextowle commented Aug 25, 2023

Fixes: #228, #464, #503, #536.

This PR implements a get_max_long function that gets the maximum long that a trader can open. We check the upper endpoint and then use Newton's method to iteratively approximate the maximum long that satisfies our solvency constraint and the trader's budget.

@jalextowle jalextowle changed the base branch from main to infinite-chocolate August 25, 2023 01:24
@jalextowle jalextowle force-pushed the jalextowle/rust/get_max_long branch from c42eefd to 4622226 Compare August 25, 2023 01:36
@jalextowle jalextowle marked this pull request as ready for review August 25, 2023 03:48
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well done, just a couple of nits

@jalextowle jalextowle merged commit 2cb79c1 into infinite-chocolate Aug 25, 2023
@jalextowle jalextowle deleted the jalextowle/rust/get_max_long branch August 25, 2023 06:06
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2 participants