Position management and market-making techniques

Suppose, there is a HF strategy (agent) that is based on order book microstructure, and it is able to make good executions locally. More formally, in average its execution price is better than asset price $\tau$ sec. after the execution. Suppose, we manage two such agents: one for long orders, another for short orders. The question is how to develop a controller that synchronizes between two and manages their mutual position given position limit N on each side, and maximal order size n. I assume, this is a very broadly studied problem, especial...Read more