Spreadsheet: john_arnold__15462__autotrader2
Sheet: base

Constants
Intensity Factor |  |  |  | 4 |  | Spread Minimum |  | 0.04 |  | Initial Offset |  |  | 0
Dead Interval |  |  |  | 240 |  | [NAME] |  |  |  | Initial Spread |  |  | 0.04
Offset Reversion Ratio (ORR) |  |  |  | 0.3 |  | Offset Minimum |  | 0 |  | Spread-Offset Minimum |  |  | 0.01
Transaction Reversion Ratio (TRR) |  |  |  | 0.3 |  | Offset Maximum |  | 0.49
Transaction Formula |  |  |  |  |  |  |  | Intensity Formula
 |  | INPUTS |  | OUTPUTS |  |  |  |  |  | INPUTS |  | OUTPUTS
Formula # |  | # [NAME] |  | Spread | Offset  Suspension |  |  | Formula # |  | Speed |  | Spread | Offset  Suspension
V1 |  | abs<4 |  | n/a | -0.01 | F |  | S1 |  | >220 |  | -0.01 | n/a | F
V2 |  | abs>3 |  | n/a | 0.01 | F |  | S2 |  | <20 |  | 0.01 | n/a | F
V3 |  | abs>5 |  | 0.01 | 0.02 | F |  | S3 |  | <10 |  | 0.02 | n/a | F
V4 |  | abs>10 |  | 0.02 | 0.04 | F
V5 |  | [NAME] |  | 0.04 | 0.15 | F
V6 |  | abs>20 |  | n/a | n/a | T
Application Example
Time (sec) | Action | Intensity | #Buys | #Sells | Buy Offset | [NAME] | Spread | Bid | Offer | Position |  | Cash | MTM |  | Notes
0 | Start | 0 | 0 | 0 | 0 | 0 | 0.04 | 25 | 25.04 | 0
6 | Sell | 0 | 0 | 1 | 0 | 0 | 0.04 | 25 | 25.04 |  |  |  |  |  | Initial Offset is zero, Initial Spread is 0.04. Formula V1 applies.
12 | Sell | 0 | 0 | 2 | 0 | 0 | 0.04 | 25 | 25.04 |  |  |  |  |  | V1
21 | Sell | 0 | 0 | 3 | 0 | 0 | 0.04 | 25 | 25.04 |  |  |  |  |  | V1
44 | Buy |  | 1 | 2 | 0 | 0 | 0.05 |  |  |  |  |  |  |  | Low Intensity value triggers Intensity [NAME]. The change in spread triggers a Last Trade is Mid action. Note that the sells are reduced by 1 as the buy occurs.V1 also applies.
65 | Sell |  | 0 | 3 | 0 | 0 |  |  |  |  |  |  |  |  | S2. Change in spread triggers Last Trade is Mid.
120 | Sell |  | 0 | 4 | 0 | 0.01 |  |  |  |  |  |  |  |  | Increase in #Sells triggers Transaction [NAME], boosting the Sell Offset by 0.01
180 | Sell |  | 0 | 5 | 0 |  |  |  |  |  |  |  |  |  | V2. Note that the following sequence of buys triggers an increasing offset and spread.
207 | Sell |  | 0 | 6 | 0 |  |  |  |  |  |  |  |  |  | V3. Offset now increasing by 0.02 with each Sell. V3 also specifies in increase in Spread by 0.01.
251 | Sell |  | 0 | 7 | 0 |  |  |  |  |  |  |  |  |  | V3
375 | Sell |  | 0 | 8 | 0 |  |  |  |  |  |  |  |  |  | V3
432 | Sell |  | 0 | 9 | 0 |  |  |  |  |  |  |  |  |  | V3. Note that V3 would have increased the offset to equal the spread, but the Spread-Offset Minimum kicks in and adjusts the spread to be 0.01 higher than the offset.
509 | Sell |  | 0 | 10 | 0 |  |  |  |  |  |  |  |  |  | V3
527 | Sell |  | 0 | 11 | 0 |  |  |  |  |  |  |  |  |  | V4. Offset now increased by 0.04 with each Sell
555 | Sell |  | 0 | 12 | 0 |  |  |  |  |  |  |  |  |  | V4
589 | Sell |  | 0 | 13 | 0 |  |  |  |  |  |  |  |  |  | V4
732 | Buy |  | 1 | 9 | 0 | 0.17 |  |  |  |  |  |  |  |  | V1 for the Buy. Note that #[NAME] is reduced by the TRR and the Sell offset by the ORR. Spreads reduced 0.01 according to V1.
930 | Sell |  | 0 | 10 |  |  |  |  |  |  |  |  |  |  | V3 for the Sell. Note that the impact of the [NAME] was to slow the rate of price increase on the Sells, but the rate of increase quickly resumes over the next few transactions.
1129 | Sell |  | 0 | 11 |  |  |  |  |  |  |  |  |  |  | V4
1200 | Sell |  | 0 | 12 |  |  |  |  |  |  |  |  |  |  | V4
1310 | Sell |  | 0 | 13 |  |  |  |  |  |  |  |  |  |  | V4. Again, the Spread-Offset Minimum impacts the calculation
1507 | Sell |  | 0 | 14 |  |  |  |  |  |  |  |  |  |  | V5
 | [NAME] |  | 0 | 10 |  | 0.32 |  |  |  |  |  |  |  |  | Dead Interval Passes. The market run is almost out of steam. [NAME] reduced by ORR and transactions by TRR. No change in Spread and no transaction, so prices remain unaffected.
 | Buy |  | 1 | 7 |  | 0.22 |  |  |  |  |  |  |  |  | V1 for the Buy. Market starts to reestablish "normal" trading at new level.
 | [NAME] |  | 0 | 5 |  | 0.15 |  |  |  |  |  |  |  |  | Dead Interval Passes.
2130 | Sell |  | 0 | 6 |  |  |  |  |  |  |  |  |  |  | V3
 | [NAME] |  | 0 | 4 |  | 0.12 |  |  |  |  |  |  |  |  | Dead Interval Passes
2450 | Buy |  | 1 | 3 |  |  |  |  |  |  |  |  |  |  | V1
 | [NAME] |  | 0 | 2 | 0 | 0.06 | 0.48 | 27.225 | 27.705 |  |  |  |  |  | Dead Interval Passes
 | [NAME] |  | 0 | 1 | 0 | 0.04 | 0.48 | 27.225 | 27.705 |  |  |  |  |  | Dead Interval Passes
 | [NAME] |  | 0 | 1 | 0 | 0.03 | 0.48 | 27.225 | 27.705 |  |  |  |  |  | Dead Interval Passes
 | [NAME] |  | 0 | 1 | 0 | 0.02 | 0.48 | 27.225 | 27.705 |  |  |  |  |  | Dead Interval Passes
 | [NAME] |  | 0 | 0 | 0 | 0 | 0.04 |  |  |  |  |  |  |  | Multiple Dead intervals deemed to pass here.
 | Buy |  | 1 | 0 | 0 | 0 | 0.04 | 27.445 | 27.485 |  |  |  |  |  | V1,S1 - minimum values apply
 | Buy |  | 2 | 0 | 0 | 0 | 0.04 | 27.445 | 27.485 |  |  |  |  |  | V1,S1 - minimum values apply
 | Buy |  | 3 | 0 | 0 | 0 | 0.04 | 27.445 | 27.485 |  |  |  |  |  | V1,S1 - minimum values apply
 | Buy |  | 4 | 0 | 0.01 | 0 | 0.04 |  |  |  |  |  |  |  | V2,S1
 | Buy |  | 5 | 0 | 0.02 | 0 |  |  |  |  |  |  |  |  | V2,S3
 | Buy |  | 6 | 0 |  | 0 |  |  |  |  |  |  |  |  | V3,S3
 | Buy |  | 7 | 0 |  | 0 |  |  |  |  |  |  |  |  | V3,S3
 | Buy |  | 8 | 0 |  | 0 |  |  |  |  |  |  |  |  | V3,S3
 | Buy |  | 9 | 0 |  | 0 |  |  |  |  |  |  |  |  | V3,S3
 | Buy |  | 10 | 0 |  | 0 |  |  |  |  |  |  |  |  | V3,S3
 | Buy |  | 11 | 0 |  | 0 |  |  |  |  |  |  |  |  | V4,S3
 | Buy |  | 12 | 0 |  | 0 |  |  |  |  |  |  |  |  | V4,S3
 | Buy |  | 13 | 0 |  | 0 |  |  |  |  |  |  |  |  | V4,S3
 | Buy |  | 14 | 0 |  | 0 | 0.4 |  |  |  |  |  |  |  | V5,S3
 | Buy |  | 15 | 0 |  | 0 | 0.55 |  |  |  |  |  |  |  | V5,S3
 | Buy |  | 16 | 0 |  | 0 | 0.7 |  |  |  |  |  |  |  | V5,S3
 |  | From here, with even trading (or no trading), the Offset will shrink to zero.
 |  | The Spread will also shrink to the minimum value with each passing [NAME] in which the Intensity>220.
 |  | (at current settings, 48 Dead Intervals would need to pass before the Spread shrunk to 0.04. This would take
 |  | 48*240 sec = approx. 3 hours).